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Modeling and Pricing in Financial Markets for Weather Derivatives

Citations

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Cited by:

  1. Július Bemš & Caner Aydin, 2022. "Introduction to weather derivatives," Wiley Interdisciplinary Reviews: Energy and Environment, Wiley Blackwell, vol. 11(3), May.
  2. Deschatre, Thomas & Féron, Olivier & Gruet, Pierre, 2021. "A survey of electricity spot and futures price models for risk management applications," Energy Economics, Elsevier, vol. 102(C).
  3. Johannes Kaufmann & Philipp Artur Kienscherf & Wolfgang Ketter, 2020. "Modeling and Managing Joint Price and Volumetric Risk for Volatile Electricity Portfolios," Energies, MDPI, vol. 13(14), pages 1-19, July.
  4. Kononovicius, Aleksejus & Kazakevičius, Rytis & Kaulakys, Bronislovas, 2022. "Resemblance of the power-law scaling behavior of a non-Markovian and nonlinear point processes," Chaos, Solitons & Fractals, Elsevier, vol. 162(C).
  5. 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.
  6. Sven Karbach, 2024. "Heat modulated affine stochastic volatility models for forward curve dynamics," Papers 2409.13070, arXiv.org.
  7. 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.
  8. Abbaspour, Manijeh & Vajargah, Kianoush Fathi & Azhdari, Parvin, 2023. "An efficient algorithm for pricing reinsurance contract under the regime-switching model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 211(C), pages 278-300.
  9. Wolfgang Karl Härdle & Brenda López Cabrera & Awdesch Melzer, 2021. "Pricing wind power futures," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 70(4), pages 1083-1102, August.
  10. Fred Espen Benth & Sara Ana Solanilla Blanco, 2015. "Forward Prices As Functionals Of The Spot Path In Commodity Markets Modeled By Levy Semistationary Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(02), pages 1-35.
  11. repec:hum:wpaper:sfb649dp2014-006 is not listed on IDEAS
  12. Aur'elien Alfonsi & Nerea Vadillo, 2023. "Risk valuation of quanto derivatives on temperature and electricity," Papers 2310.07692, arXiv.org, revised Apr 2024.
  13. Fred Espen Benth & Luca Di Persio & Silvia Lavagnini, 2018. "Stochastic Modeling of Wind Derivatives in Energy Markets," Risks, MDPI, vol. 6(2), pages 1-21, May.
  14. Aqib Ahmed & Hei{dh}ar Eyj'olfsson, 2026. "Pricing Derivatives under Self-Exciting Dynamics: A Finite-Difference and Transform Approach," Papers 2603.12602, arXiv.org.
  15. Aleksejus Kononovicius & Rytis Kazakeviv{c}ius & Bronislovas Kaulakys, 2022. "Resemblance of the power-law scaling behavior of a non-Markovian and nonlinear point processes," Papers 2205.07563, arXiv.org, revised Jul 2022.
  16. 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.
  17. Fred Espen Benth & Sven Karbach & Asma Khedher, 2025. "Measure-Valued CARMA Processes," Papers 2505.08852, arXiv.org.
  18. Sara Ana Solanilla Blanco, 2024. "Local sensitivity analysis of heating degree day and cooling degree day temperature derivatives prices," Papers 2403.00006, arXiv.org.
  19. Jian He & Sven Karbach & Asma Khedher, 2025. "Pricing Options on Forwards in Function-Valued Affine Stochastic Volatility Models," Papers 2508.14813, arXiv.org, revised Apr 2026.
  20. Fred Espen Benth & Marco Piccirilli & Tiziano Vargiolu, 2017. "Additive energy forward curves in a Heath-Jarrow-Morton framework," Papers 1709.03310, arXiv.org, revised Jun 2018.
  21. Nicola Bartolini & Silvia Romagnoli & Amia Santini, 2025. "Water Shortage and Mitigation Solutions: A Focus on New Physical and Financial Hedging Tools," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(10), pages 1491-1511, October.
  22. Sonja Cox & Sven Karbach & Asma Khedher, 2022. "An infinite‐dimensional affine stochastic volatility model," Mathematical Finance, Wiley Blackwell, vol. 32(3), pages 878-906, July.
  23. Fred Espen Benth & Asma Khedher & Mich`ele Vanmaele, 2017. "Pricing of commodity derivatives on processes with memory," Papers 1711.00307, arXiv.org.
  24. Fei Gao & Shuaiqiang Liu & Cornelis W. Oosterlee & Nico M. Temme, 2022. "Solution of integrals with fractional Brownian motion for different Hurst indices," Papers 2203.02323, arXiv.org, revised Mar 2022.
  25. Markus Hess, 2021. "A new approach to wind power futures pricing," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 1235-1252, December.
  26. Fred Espen Benth & Asma Khedher & Michèle Vanmaele, 2020. "Pricing of Commodity Derivatives on Processes with Memory," Risks, MDPI, vol. 8(1), pages 1-32, January.
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