IDEAS home Printed from https://ideas.repec.org/r/taf/apmtfi/v9y2002i1p1-20.html

On modelling and pricing weather derivatives

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. 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.
  2. Ameur, Hachmi Ben & Han, Xuyuan & Liu, Zhenya & Peillex, Jonathan, 2022. "When did global warming start? A new baseline for carbon budgeting," Economic Modelling, Elsevier, vol. 116(C).
  3. 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.
  4. 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.
  5. 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.
  6. Christos Floros, 2011. "On the relationship between weather and stock market returns," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 28(1), pages 5-13, March.
  7. 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.
  8. Aurélien Alfonsi & Nerea Vadillo, 2023. "Risk valuation of quanto derivatives on temperature and electricity," Post-Print hal-04358505, HAL.
  9. Sun, Baojing, "undated". "Financial Weather Derivatives for Corn Production in Northeastern China: Modelling the Underlying Weather Index," Working Papers 257083, University of Victoria, Resource Economics and Policy.
  10. A. Alexandridis & A. Zapranis, 2013. "Wind Derivatives: Modeling and Pricing," Computational Economics, Springer;Society for Computational Economics, vol. 41(3), pages 299-326, March.
  11. Dupuis, Debbie J., 2011. "Forecasting temperature to price CME temperature derivatives," International Journal of Forecasting, Elsevier, vol. 27(2), pages 602-618, April.
  12. Sun, Baojing, "undated". "Financial Weather Derivatives for Corn Production in Northeastern China: Modelling the underlying Weather Index," Working Papers 263197, University of Victoria, Resource Economics and Policy.
  13. 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.
  14. Qing Sun & Zaiqiang Yang & Xianghong Che & Wei Han & Fangmin Zhang & Fang Xiao, 2018. "Pricing weather index insurance based on artificial controlled experiment: a case study of cold temperature for early rice in Jiangxi, China," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 91(1), pages 69-88, March.
  15. Samuel Asante Gyamerah & Philip Ngare & Dennis Ikpe, 2018. "Regime-Switching Temperature Dynamics Model for Weather Derivatives," International Journal of Stochastic Analysis, Hindawi, vol. 2018, pages 1-15, July.
  16. Sergey Obukhov & Emad M. Ahmed & Denis Y. Davydov & Talal Alharbi & Ahmed Ibrahim & Ziad M. Ali, 2021. "Modeling Wind Speed Based on Fractional Ornstein-Uhlenbeck Process," Energies, MDPI, vol. 14(17), pages 1-15, September.
  17. repec:hum:wpaper:sfb649dp2014-001 is not listed on IDEAS
  18. Cui, Hairong & Zhou, Ying & Dzandu, Michael D. & Tang, Yinshan & Lu, Xunfa, 2019. "Is temperature-index derivative suitable for China?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
  19. 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).
  20. 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.
  21. Härdle, Wolfgang Karl & Osipenko, Maria, 2011. "Pricing Chinese rain: A multisite mulit-period equilibrium pricing model for rainfall derivatives," SFB 649 Discussion Papers 2011-055, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  22. repec:hum:wpaper:sfb649dp2009-001 is not listed on IDEAS
  23. Fred Espen Benth & Jūratė Šaltytė 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, December.
  24. 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(05), pages 1-12.
  25. 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.
  26. Fernando Alves Silveira & Silvio Parodi de Oliveira Camilo, 2024. "A blockchain-based platform for trading weather derivatives," Digital Finance, Springer, vol. 6(1), pages 3-22, March.
  27. Zura Kakushadze & Juan Andrés Serur, 2018. "151 Trading Strategies," Springer Books, Springer, number 978-3-030-02792-6, January.
  28. Turvey, Calum G. & Norton, Michael, 2008. "An Internet-Based Tool for Weather Risk Management," Agricultural and Resource Economics Review, Cambridge University Press, vol. 37(1), pages 63-78, April.
  29. Hougaard, Jens Leth & Kronborg, Dorte & Smilgins, Aleksandrs, 2017. "Fair division of costs in green energy markets," Energy, Elsevier, vol. 139(C), pages 220-230.
  30. 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).
  31. Philipp Hell & Thilo Meyer-Brandis & Thorsten Rheinländer, 2012. "Consistent Factor Models For Temperature Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(04), pages 1-24.
  32. Aur'elien Alfonsi & Nerea Vadillo, 2023. "Risk valuation of quanto derivatives on temperature and electricity," Papers 2310.07692, arXiv.org, revised Apr 2024.
  33. Svec, J. & Stevenson, M., 2007. "Modelling and forecasting temperature based weather derivatives," Global Finance Journal, Elsevier, vol. 18(2), pages 185-204.
  34. Birgit Lemmerer & Stephan Unger, 2019. "Modeling and pricing of space weather derivatives," Risk Management, Palgrave Macmillan, vol. 21(4), pages 265-291, December.
  35. 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.
  36. Jr‐Wei Huang & Sharon S. Yang & Chuang‐Chang Chang, 2018. "Modeling temperature behaviors: Application to weather derivative valuation," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(9), pages 1152-1175, September.
  37. E. Carkin & S. Chekirov & A. Echimova & C. Johnston & C. Li & V. Secrieru & A. Strelnikova & M. Trier & V. Trubnikov & Э. Каркин & С. Чекиров & А. Екимова & К. Джонстон & К. Ли & В. Секриеру & А. Стре, 2018. "Погодные деривативы в России: страхование фермеров от колебаний температуры // Weather Derivatives in Russia: Farmers’ Insurance against Temperature Fluctuations," Review of Business and Economics Studies // Review of Business and Economics Studies, Финансовый Университет // Financial University, vol. 6(1), pages 29-42.
  38. 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.
  39. repec:ere:journl:v:xxxvii:y:2018:i:2:p:135-154 is not listed on IDEAS
  40. 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.
  41. 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.
  42. Larsson, Karl & Green, Rikard & Benth, Fred Espen, 2023. "A stochastic time-series model for solar irradiation," Energy Economics, Elsevier, vol. 117(C).
  43. Prabakaran, Sellamuthu & Garcia, Isabel C. & Mora, Jose U., 2020. "A temperature stochastic model for option pricing and its impacts on the electricity market," Economic Analysis and Policy, Elsevier, vol. 68(C), pages 58-77.
  44. repec:hum:wpaper:sfb649dp2011-055 is not listed on IDEAS
  45. Eirini Konstantinidi & Gkaren Papazian & George Skiadopoulos, 2015. "Modeling the Dynamics of Temperature with a View to Weather Derivatives," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 17, pages 511-544, World Scientific Publishing Co. Pte. Ltd..
  46. Larsson, Karl, 2023. "Parametric heat wave insurance," Journal of Commodity Markets, Elsevier, vol. 31(C).
  47. Monika Wieczorek-Kosmala, 2020. "Weather Risk Management in Energy Sector: The Polish Case," Energies, MDPI, vol. 13(4), pages 1-21, February.
  48. Alessio Giorgini & Rogemar S. Mamon & Marianito R. Rodrigo, 2021. "A Stochastic Harmonic Oscillator Temperature Model for the Valuation of Weather Derivatives," Mathematics, MDPI, vol. 9(22), pages 1-15, November.
  49. Hintermann, Beat, 2012. "Pricing emission permits in the absence of abatement," Energy Economics, Elsevier, vol. 34(5), pages 1329-1340.
  50. Marcel Ausloos, 2013. "Econophysics: Comments on a Few Applications, Successes, Methods and Models," IIM Kozhikode Society & Management Review, , vol. 2(2), pages 101-115, July.
  51. Bressan, Giacomo Maria & Romagnoli, Silvia, 2021. "Climate risks and weather derivatives: A copula-based pricing model," Journal of Financial Stability, Elsevier, vol. 54(C).
  52. Yuji Yamada & Takuji Matsumoto, 2023. "Construction of Mixed Derivatives Strategy for Wind Power Producers," Energies, MDPI, vol. 16(9), pages 1-26, April.
  53. Martínez-Salgueiro, Andrea & Tarrazón-Rodón, María-Antonia, 2020. "Is diversification effective in reducing the systemic risk implied by a market for weather index-based insurance in Spain?," MPRA Paper 119924, University Library of Munich, Germany, revised 19 May 2021.
  54. Baltuttis, Dennik & Töppel, Jannick & Tränkler, Timm & Wiethe, Christian, 2020. "Managing the risks of energy efficiency insurances in a portfolio context: An actuarial diversification approach," International Review of Financial Analysis, Elsevier, vol. 68(C).
  55. Tuoyuan Cheng & Saikiran Reddy Poreddy & Kan Chen, 2025. "Tail Risk in Weather Derivatives," Commodities, MDPI, vol. 4(2), pages 1-17, June.
  56. 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.
  57. Silvana Stefani & Gleda Kutrolli & Enrico Moretto & Sergei Kulakov, 2020. "Managing Meteorological Risk through Expected Shortfall," Risks, MDPI, vol. 8(4), pages 1-23, November.
  58. Dupuis, Debbie J., 2011. "Forecasting temperature to price CME temperature derivatives," International Journal of Forecasting, Elsevier, vol. 27(2), pages 602-618.
  59. Heng Xiong & Rogemar Mamon, 2018. "Putting a price tag on temperature," Computational Management Science, Springer, vol. 15(2), pages 259-296, June.
  60. Beyazıt, Mehmet Fuat & Koc, Erdogan, 2010. "An analysis of snow options for ski resort establishments," Tourism Management, Elsevier, vol. 31(5), pages 676-683.
  61. Broeders, Dirk & Dimitrov, Daniel & Verhoeven, Niek, 2025. "Climate-linked bonds," Working Paper Series 3011, European Central Bank.
  62. Hainaut, Donatien, 2019. "Hedging of crop harvest with derivatives on temperature," Insurance: Mathematics and Economics, Elsevier, vol. 84(C), pages 98-114.
  63. Sun, Baojing & van Kooten, G. Cornelis, 2014. "Financial Weather Options for Crop Production," Working Papers 164323, University of Victoria, Resource Economics and Policy.
  64. Dirk Broeders & Daniel Dimitrov & Niek Verhoeven, 2024. "Climate-Linked Bonds," Working Papers 817, DNB.
  65. Taylor, James W. & Buizza, Roberto, 2006. "Density forecasting for weather derivative pricing," International Journal of Forecasting, Elsevier, vol. 22(1), pages 29-42.
  66. Victor Vaugirard, 2003. "Valuing catastrophe bonds by Monte Carlo simulations," Applied Mathematical Finance, Taylor & Francis Journals, vol. 10(1), pages 75-90.
  67. 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.
  68. 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.
  69. Gulnora Raimova, 2011. "Variance reduction methods at the pricing of weather options," Applied Econometrics, Russian Academy of National Economy and Public Administration (RANEPA), vol. 21(1), pages 3-15.
  70. Hainaut, Donatien, 2018. "Hedging of crop harvest with derivatives on temperature," LIDAM Discussion Papers ISBA 2018012, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  71. 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.
  72. Zong, Lu & Ender, Manuela, 2013. "Model Comparison for Temperature-based Weather Derivatives in Mainland China," Conference papers 332293, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project.
  73. Härdle, Wolfgang Karl & Osipenko, Maria, 2017. "Dynamic valuation of weather derivatives under default risk," SFB 649 Discussion Papers 2017-005, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  74. Zhuoxin Liu & Laijun Zhao & Chenchen Wang & Yong Yang & Jian Xue & Xin Bo & Deqiang Li & Dengguo Liu, 2019. "An Actuarial Pricing Method for Air Quality Index Options," IJERPH, MDPI, vol. 16(24), pages 1-19, December.
  75. repec:hum:wpaper:sfb649dp2009-046 is not listed on IDEAS
  76. 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.
  77. 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.
  78. 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(04), pages 1-13.
  79. Žmuk Berislav & Kovač Matej, 2020. "Ornstein-Uhlenbeck process and GARCH model for temperature forecasting in weather derivatives valuation," Croatian Review of Economic, Business and Social Statistics, Paradigm, vol. 6(1), pages 27-42, May.
  80. Teddy Oetomo & Max Stevenson, 2005. "Hot or Cold? A Comparison of Different Approaches to the Pricing of Weather Derivatives," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 4(2), pages 101-133, August.
  81. Soumil Hooda & Shubham Sharma & Kunal Bansal, 2024. "Quantifying Seasonal Weather Risk in Indian Markets: Stochastic Model for Risk-Averse State-Specific Temperature Derivative Pricing," Papers 2409.04541, arXiv.org, revised Mar 2026.
  82. Christophette Blanchet-Scalliet & Diana Dorobantu & Benoit Nieto, 2024. "A pseudo-likelihood estimator of the Ornstein–Uhlenbeck parameters from suprema observations," Statistical Inference for Stochastic Processes, Springer, vol. 27(2), pages 407-425, July.
  83. Henrik Andersson, 2007. "Are commodity prices mean reverting?," Applied Financial Economics, Taylor & Francis Journals, vol. 17(10), pages 769-783.
  84. Simona Franzoni & Cristian Pelizzari, 2021. "Rainfall option impact on profits of the hospitality industry through scenario correlation and copulas," Annals of Operations Research, Springer, vol. 299(1), pages 939-962, April.
  85. 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.
  86. Härdle, Wolfgang Karl & López-Cabrera, Brenda & Ritter, Matthias, 2012. "Forecast based pricing of weather derivatives," SFB 649 Discussion Papers 2012-027, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  87. 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.
  88. 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.
  89. Frank Schiller & Gerold Seidler & Maximilian Wimmer, 2012. "Temperature models for pricing weather derivatives," Quantitative Finance, Taylor & Francis Journals, vol. 12(3), pages 489-500, March.
  90. Evarest Emmanuel & Berntsson Fredrik & Singull Martin & Yang Xiangfeng, 2018. "Weather derivatives pricing using regime switching model," Monte Carlo Methods and Applications, De Gruyter, vol. 24(1), pages 13-27, March.
  91. Andrea Martínez Salgueiro & Maria-Antonia Tarrazon-Rodon, 2021. "Weather derivatives to mitigate meteorological risks in tourism management: An empirical application to celebrations of Comunidad Valenciana (Spain)," Tourism Economics, , vol. 27(4), pages 591-613, June.
  92. Baojing Sun, 2017. "Financial Weather Derivatives for Corn Production in Northeastern China: Modelling the underlying Weather Index," Working Papers 2017-05, University of Victoria, Department of Economics, Resource Economics and Policy Analysis Research Group.
  93. Martina Bobriková, 2016. "Weather Risk Management in Agriculture," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 64(4), pages 1303-1309.
  94. Angelos Prentzas & Thomas Bournaris & Stefanos Nastis & Christina Moulogianni & George Vlontzos, 2024. "Enhancing Sustainability through Weather Derivative Option Contracts: A Risk Management Tool in Greek Agriculture," Sustainability, MDPI, vol. 16(17), pages 1-18, August.
  95. 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).
  96. Wolfgang Karl Härdle & Maria Osipenko, 2017. "A Dynamic Programming Approach for Pricing Weather Derivatives under Issuer Default Risk," IJFS, MDPI, vol. 5(4), pages 1-18, October.
  97. Andrea Martínez Salgueiro & Maria-Antonia Tarrazon-Rodon, 2020. "Approaching rainfall-based weather derivatives pricing and operational challenges," Review of Derivatives Research, Springer, vol. 23(2), pages 163-190, July.
  98. repec:hum:wpaper:sfb649dp2014-006 is not listed on IDEAS
  99. 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).
  100. 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-based insurance]," MPRA Paper 72690, University Library of Munich, Germany.
  101. Romain Biard & Christophette Blanchet-Scalliet & Anne Eyraud-Loisel & Stéphane Loisel, 2013. "Impact of Climate Change on Heat Wave Risk," Risks, MDPI, vol. 1(3), pages 1-16, December.
  102. Peng Li, 2021. "The Valuation of Weather Derivatives Using One Sided Crank–Nicolson Schemes," Computational Economics, Springer;Society for Computational Economics, vol. 58(3), pages 825-847, October.
  103. Makkonen, Adam & Vallström, Daniel & Uddin, Gazi Salah & Rahman, Md Lutfur & Haddad, Michel Ferreira Cardia, 2021. "The effect of temperature anomaly and macroeconomic fundamentals on agricultural commodity futures returns," Energy Economics, Elsevier, vol. 100(C).
  104. Lu Zong & Manuela Ender, 2016. "Spatially-Aggregated Temperature Derivatives: Agricultural Risk Management in China," IJFS, MDPI, vol. 4(3), pages 1-17, September.
  105. Ahmet Goncu & Mehmet Oguz Karahan & Tolga Umut Kuzubas, 2019. "Forecasting Daily Residential Natural Gas Consumption: A Dynamic Temperature Modelling Approach," Bogazici Journal, Review of Social, Economic and Administrative Studies, Bogazici University, Department of Economics, vol. 33(1), pages 1-22.
  106. 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.
  107. 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.
  108. repec:hum:wpaper:sfb649dp2012-027 is not listed on IDEAS
  109. Asante Gyamerah, Samuel & Ngare, Philip & Ikpe, Dennis, 2018. "A Levy Regime-Switching Temperature Dynamics Model for Weather Derivatives," MPRA Paper 89680, University Library of Munich, Germany, revised 10 Jul 2018.
  110. Fred Espen Benth & Jūratė Šaltytė Benth, 2012. "Modeling and Pricing in Financial Markets for Weather Derivatives," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8457, May.
  111. Benth, Fred & Härdle, Wolfgang Karl & López Cabrera, Brenda, 2009. "Pricing of Asian temperature risk," SFB 649 Discussion Papers 2009-046, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  112. Yeny E. Rodríguez & Miguel A. Pérez-Uribe & Javier Contreras, 2021. "Wind Put Barrier Options Pricing Based on the Nordix Index," Energies, MDPI, vol. 14(4), pages 1-14, February.
  113. Tellez Gaytán, Jesús Cuauhtémoc & Serrano Acevedo, María Eugenia & Rico Arias, Jaime Ángel, 2014. "Modelación del clima bajo un proceso estocástico de reversión a la media estacional / Modeling weather under a seasonal mean reversion stochastic process," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 4(1), pages 9-32, enero-jun.
  114. Bufalo, Michele & Fanelli, Viviana, 2025. "A seasonal two-factor model for solar energy production: A climate extreme events analysis," Energy Economics, Elsevier, vol. 148(C).
  115. Bagnara, Matteo & Jappelli, Ruggero, 2022. "Liquidity derivatives," SAFE Working Paper Series 358, Leibniz Institute for Financial Research SAFE.
  116. repec:aen:journl:33-2-07 is not listed on IDEAS
  117. Ahmet Göncü, 2011. "Pricing temperature-based weather derivatives in China," Journal of Risk Finance, Emerald Group Publishing, vol. 13(1), pages 32-44, December.
  118. 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.
  119. 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.
  120. Markus Herrmann & Martin Hibbeln, 2021. "Seasonality in catastrophe bonds and market‐implied catastrophe arrival frequencies," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 88(3), pages 785-818, September.
  121. Markus Hess, 2018. "Pricing Temperature Derivatives Under Weather Forecasts," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(05), pages 1-34, August.
  122. Wolfgang Karl Härdle & Brenda López Cabrera, 2012. "The Implied Market Price of Weather Risk," Applied Mathematical Finance, Taylor & Francis Journals, vol. 19(1), pages 59-95, February.
  123. Fred Espen Benth & Jūratė Šaltytė Benth & Steen Koekebakker, 2008. "Stochastic Modeling of Electricity and Related Markets," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6811, May.
  124. repec:hum:wpaper:sfb649dp2017-005 is not listed on IDEAS
  125. 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.
  126. 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.
  127. Musshoff, Oliver & Odening, Martin & Xu, Wei, 2005. "Zur Reduzierung niederschlagsbedingter Produktionsrisiken mit Wetterderivaten," Working Paper Series 18822, Humboldt University Berlin, Department of Agricultural Economics.
  128. 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.
  129. Gülpınar, Nalân & Çanakoḡlu, Ethem, 2017. "Robust portfolio selection problem under temperature uncertainty," European Journal of Operational Research, Elsevier, vol. 256(2), pages 500-523.
  130. Giovanni Masala & Marco Micocci & Andrea Rizk, 2022. "Hedging Wind Power Risk Exposure through Weather Derivatives," Energies, MDPI, vol. 15(4), pages 1-30, February.
  131. Kwangil Bae, 2019. "Valuation and applications of compound basket options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(6), pages 704-720, June.
  132. Schmitz, B. & Starp, M., . "Wetterderivate zur Absicherung des Energiekostenrisikos im Unterglasanbau," Proceedings “Schriften der Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues e.V.”, German Association of Agricultural Economists (GEWISOLA), vol. 40.
  133. 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.
  134. Boyle, Colin F.H. & Haas, Jannik & Kern, Jordan D., 2021. "Development of an irradiance-based weather derivative to hedge cloud risk for solar energy systems," Renewable Energy, Elsevier, vol. 164(C), pages 1230-1243.
  135. Romagnoli, Silvia & Sartini, Beniamino, 2026. "A fuzzy-and-fair framework for solar irradiance modeling and derivative pricing: Bridging photovoltaic production risk and climate-linked finance," Applied Energy, Elsevier, vol. 404(C).
  136. Ritter, Matthias & Mußhoff, Oliver & Odening, Martin, 2010. "Meteorological forecasts and the pricing of weather derivatives," SFB 649 Discussion Papers 2010-043, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.