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On modelling and pricing weather derivatives

Citations

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Cited by:

  1. Lu Zong & Manuela Ender, 2016. "Spatially-Aggregated Temperature Derivatives: Agricultural Risk Management in China," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 4(3), pages 1-17, September.
  2. Turvey, Calum G. & Norton, Michael T., 2008. "An Internet-Based Tool for Weather Risk Management," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, vol. 37(1), April.
  3. Lunina, Veronika, 2016. "Joint Modelling of Power Price, Temperature, and Hydrological Balance with a View towards Scenario Analysis," Working Papers 2016:30, Lund University, Department of Economics.
  4. Musshoff, Oliver & Odening, Martin & Xu, Wei, 2006. "Modeling and Pricing Rain Risk," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia 25386, International Association of Agricultural Economists.
  5. Wei Yuan & Ahmet Göncü & Giray Ökten, 2015. "Estimating sensitivities of temperature-based weather derivatives," Applied Economics, Taylor & Francis Journals, vol. 47(19), pages 1942-1955, April.
  6. Berg, Ernst & Schmitz, Bernhard & Starp, Michael, 2006. "Weather Derivatives as an Instrument to Hedge Against the Risk of High Energy Cost in Greenhouse Production," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia 25629, International Association of Agricultural Economists.
  7. Romain Biard & Christophette Blanchet-Scalliet & Anne Eyraud-Loisel & Stéphane Loisel, 2013. "Impact of Climate Change on Heat Wave Risk," Risks, MDPI, Open Access Journal, vol. 1(3), pages 1-16, December.
  8. Wolfgang Karl Härdle & Brenda López-Cabrera & Matthias Ritter, 2012. "Forecast based Pricing of Weather Derivatives," SFB 649 Discussion Papers SFB649DP2012-027, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  9. Xu, Wei & Odening, Martin & Musshoff, Oliver, 2007. "Indifference Pricing of Weather Insurance," 101st Seminar, July 5-6, 2007, Berlin Germany 9267, European Association of Agricultural Economists.
  10. Benth, Fred Espen & Taib, Che Mohd Imran Che, 2013. "On the speed towards the mean for continuous time autoregressive moving average processes with applications to energy markets," Energy Economics, Elsevier, vol. 40(C), pages 259-268.
  11. Chen, Shu-Ling, 2011. "Modeling Temperature Dynamics for Aquaculture Index Insurance In Taiwan: A Nonlinear Quantile Approach," 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania 104229, Agricultural and Applied Economics Association.
  12. Raimova, Gulnora, 2011. "Variance reduction methods at the pricing of weather options," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 21(1), pages 3-15.
  13. Šaltytė Benth, Jūratė & Benth, Fred Espen, 2012. "A critical view on temperature modelling for application in weather derivatives markets," Energy Economics, Elsevier, vol. 34(2), pages 592-602.
  14. Fred Espen Benth & Jurate Saltyte-Benth, 2005. "Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 12(1), pages 53-85.
  15. Ahmet Göncü, 2013. "Comparison of temperature models using heating and cooling degree days futures," Journal of Risk Finance, Emerald Group Publishing, vol. 14(2), pages 159-178, February.
  16. Christos Floros, 2011. "On the relationship between weather and stock market returns," Studies in Economics and Finance, Emerald Group Publishing, vol. 28(1), pages 5-13, March.
  17. Andrea Barth & Fred Espen Benth & Jurgen Potthoff, 2011. "Hedging of Spatial Temperature Risk with Market-Traded Futures," Applied Mathematical Finance, Taylor & Francis Journals, vol. 18(2), pages 93-117.
  18. Adam Clements & A S Hurn & K A Lindsay, 2008. "Estimating the Payoffs of Temperature-based Weather Derivatives," NCER Working Paper Series 33, National Centre for Econometric Research.
  19. Fred Benth & Wolfgang Karl Härdle & Brenda López Cabrera, 2009. "Pricing of Asian temperature risk," SFB 649 Discussion Papers SFB649DP2009-046, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  20. Adam Clements & A S Hurn & K A Lindsay, 2008. "Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives," NCER Working Paper Series 34, National Centre for Econometric Research.
  21. Baojing Sun & Changhao Guo & G. Cornelis van Kooten, 2013. "Weather Derivatives and Crop Insurance in China," Working Papers 2013-02, University of Victoria, Department of Economics, Resource Economics and Policy Analysis Research Group.
  22. A. Alexandridis & A. Zapranis, 2013. "Wind Derivatives: Modeling and Pricing," Computational Economics, Springer;Society for Computational Economics, vol. 41(3), pages 299-326, March.
  23. Dupuis, Debbie J., 2011. "Forecasting temperature to price CME temperature derivatives," International Journal of Forecasting, Elsevier, vol. 27(2), pages 602-618, April.
  24. Ahmet Göncü, 2011. "Pricing temperature-based weather derivatives in China," Journal of Risk Finance, Emerald Group Publishing, vol. 13(1), pages 32-44, December.
  25. Sun, Baojing & van Kooten, G. Cornelis, 2015. "Financial weather derivatives for corn production in Northern China: A comparison of pricing methods," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 201-209.
  26. Markus Stowasser, 2011. "Modelling rain risk: a multi-order Markov chain model approach," Journal of Risk Finance, Emerald Group Publishing, vol. 13(1), pages 45-60, December.
  27. Miguel, Fusco & Dario, Bacchini & Esteban Otto, Thomasz, 2014. "Riesgo Agropecuario: Incidencia Económica e Innovaciones para su mitigación. El caso de Argentina
    [Agricultural Risk Managment: Economic Incidence and Mitigation Innovations. The Case of Argentina]
    ," MPRA Paper 56408, University Library of Munich, Germany.
  28. Jerzy Filar & Boda Kang & Malgorzata Korolkiewicz, 2008. "Pricing Financial Derivatives on Weather Sensitive Assets," Research Paper Series 223, Quantitative Finance Research Centre, University of Technology, Sydney.
  29. repec:spr:nathaz:v:91:y:2018:i:1:d:10.1007_s11069-017-3109-7 is not listed on IDEAS
  30. Musshoff, Oliver & Odening, Martin & Xu, Wei, 2005. "Zur Bewertung von Wetterderivaten als innovative Risikomanagementinstrumente in der Landwirtschaft," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 54(4).
  31. Wolfgang Härdle & Maria Osipenko, 2011. "Pricing Chinese rain: a multi-site multi-period equilibrium pricing model for rainfall derivatives," SFB 649 Discussion Papers SFB649DP2011-055, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  32. Ngoc Mai Tran & Maria Osipenko & Wolfgang Karl Härdle, 2014. "Principal Component Analysis in an Asymmetric Norm," SFB 649 Discussion Papers SFB649DP2014-001, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  33. Fournier, Valerie & Manfredo, Mark R. & Richards, Timothy J. & Eaves, James, 2005. "Managing Economic Risk from Invasive Species: Bug Options," 2005 Annual meeting, July 24-27, Providence, RI 19553, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  34. Dorfleitner, Gregor & Wimmer, Maximilian, 2010. "The pricing of temperature futures at the Chicago Mercantile Exchange," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1360-1370, June.
  35. Hintermann, Beat, 2012. "Pricing emission permits in the absence of abatement," Energy Economics, Elsevier, vol. 34(5), pages 1329-1340.
  36. Ahmet Goncu & Mehmet Oguz Karahan & Tolga Umut Kuzubas, 2013. "Forecasting Daily Residential Natural Gas Consumption: A Dynamic Temperature Modelling Approach," Working Papers 2013/11, Bogazici University, Department of Economics.
  37. CMaria Osipenko & Wolfgang Karl Härdle, 2017. "Dynamic Valuation of Weather Derivatives under Default Risk," SFB 649 Discussion Papers SFB649DP2017-005, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  38. Simmons, Phil & Edwards, Miriam & Byrnes, Joel, 2007. "Willingness to Pay for Weather Derivatives by Australian Wheat Farmers," 101st Seminar, July 5-6, 2007, Berlin Germany 9262, European Association of Agricultural Economists.
  39. Wolfgang Härdle & Brenda López Cabrera, 2009. "Implied Market Price of Weather Risk," SFB 649 Discussion Papers SFB649DP2009-001, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  40. Ahčan, Aleš, 2012. "Statistical analysis of model risk concerning temperature residuals and its impact on pricing weather derivatives," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 131-138.
  41. Elias, R.S. & Wahab, M.I.M. & Fang, L., 2014. "A comparison of regime-switching temperature modeling approaches for applications in weather derivatives," European Journal of Operational Research, Elsevier, vol. 232(3), pages 549-560.
  42. Groll, Andreas & López-Cabrera, Brenda & Meyer-Brandis, Thilo, 2016. "A consistent two-factor model for pricing temperature derivatives," Energy Economics, Elsevier, vol. 55(C), pages 112-126.
  43. FRED ESPEN BENTH & JŪRATĖ SALTYTĖ BENTH & STEEN KOEKEBAKKER, 2007. "Putting a Price on Temperature," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 34(4), pages 746-767.
  44. Musshoff, Oliver & Hirschauer, Norbert, 2008. "Hedging von Mengenrisiken in der Landwirtschaft – Wie teuer dürfen „ineffektive“ Wetterderivate sein?," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 57(5).
  45. Wong, Hoi Ying & Lo, Yu Wai, 2009. "Option pricing with mean reversion and stochastic volatility," European Journal of Operational Research, Elsevier, vol. 197(1), pages 179-187, August.
  46. Musshoff, Oliver & Odening, Martin & Xu, Wei, 2005. "Zur Reduzierung niederschlagsbedingter Produktionsrisiken mit Wetterderivaten," Working Paper Series 18822, Humboldt University Berlin, Department Agricultural Economics.
  47. Beat Hintermann, 2009. "An Options Pricing Approach for CO2 Allowances in the EU ETS," CEPE Working paper series 09-64, CEPE Center for Energy Policy and Economics, ETH Zurich.
  48. L. Kermiche & N. Vuillermet, 2016. "Weather derivatives structuring and pricing: a sustainable agricultural approach in Africa," Applied Economics, Taylor & Francis Journals, vol. 48(2), pages 165-177, January.
  49. Dupuis, Debbie J., 2011. "Forecasting temperature to price CME temperature derivatives," International Journal of Forecasting, Elsevier, vol. 27(2), pages 602-618.
  50. Alexandridis, Antonis K. & Kampouridis, Michael & Cramer, Sam, 2017. "A comparison of wavelet networks and genetic programming in the context of temperature derivatives," International Journal of Forecasting, Elsevier, vol. 33(1), pages 21-47.
  51. Berg, Ernst & Schmitz, Bernhard & Starp, Michael, 2006. "Weather derivatives as an instrument to hedge against the risk of high energy cost in greenhouse production," 2006 Annual meeting, July 23-26, Long Beach, CA 21378, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  52. Gülpınar, Nalân & Çanakoḡlu, Ethem, 2017. "Robust portfolio selection problem under temperature uncertainty," European Journal of Operational Research, Elsevier, vol. 256(2), pages 500-523.
  53. repec:gam:jijfss:v:5:y:2017:i:4:p:23-:d:115840 is not listed on IDEAS
  54. repec:eee:energy:v:139:y:2017:i:c:p:220-230 is not listed on IDEAS
  55. Turvey, Calum G. & Weersink, Alfons, 2005. "Pricing Weather Insurance with a Random Strike Price: An Application to the Ontario Ice Wine Harvest," 2005 Annual meeting, July 24-27, Providence, RI 19255, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  56. Thomasz, Esteban Otto & Casparri, María Teresa, 2015. "Innovaciones financieras para adaptación al riesgo climático: el caso de las coberturas basadas en índices
    [Financial innovations for adaptation to climate risk in agriculture: the case of index-ba
    ," MPRA Paper 72690, University Library of Munich, Germany.
  57. repec:eee:touman:v:31:y:2010:i:5:p:676-683 is not listed on IDEAS
  58. Musshoff, Oliver & Odening, Martin & Xu, Wei, 2006. "Modeling and Hedging Rain Risk," 2006 Annual meeting, July 23-26, Long Beach, CA 21050, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  59. Baojing Sun & G. Cornelis van Kooten, 2014. "Financial Weather Options for Crop Production," Working Papers 2014-03, University of Victoria, Department of Economics, Resource Economics and Policy Analysis Research Group.
  60. Svec, J. & Stevenson, M., 2007. "Modelling and forecasting temperature based weather derivatives," Global Finance Journal, Elsevier, vol. 18(2), pages 185-204.
  61. East, Miriam, 2005. "Issues Of Geographical Basis Risk In Weather Derivatives For Australian Wheat Farmers," 2005 Conference (49th), February 9-11, 2005, Coff's Harbour, Australia 137861, Australian Agricultural and Resource Economics Society.
  62. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
  63. Taylor, James W. & Buizza, Roberto, 2006. "Density forecasting for weather derivative pricing," International Journal of Forecasting, Elsevier, vol. 22(1), pages 29-42.
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