- About this Journal
- Abstracting and Indexing
- Aims and Scope
- Article Processing Charges
- Articles in Press
- Author Guidelines
- Bibliographic Information
- Citations to this Journal
- Contact Information
- Editorial Board
- Editorial Workflow
- Free eTOC Alerts
- Publication Ethics
- Reviewers Acknowledgment
- Submit a Manuscript
- Subscription Information
- Table of Contents
International Journal of Stochastic Analysis
Volume 2011 (2011), Article ID 576791, 21 pages
Weather Derivatives and Stochastic Modelling of Temperature
1Center of Mathematics for Applications, University of Oslo, P.O. Box 1053 Blindern, 0316 Oslo, Norway
2School of Management, University of Agder, Serviceboks 422, 4604 Kristiansand, Norway
3HØKH, Research Centre, Akershus University Hospital, Lørenskog, Norway
4Faculty Division Akershus University Hospital, University of Oslo, Oslo, Norway
Received 31 January 2011; Revised 4 May 2011; Accepted 17 May 2011
Academic Editor: Maria J. Lopez-Herrero
Copyright © 2011 Fred Espen Benth and Jūratė Šaltytė Benth. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
- F. E. Benth, J. Šaltytė Benth, and S. Koekebakker, “Putting a price on temperature,” Scandinavian Journal of Statistics, vol. 34, no. 4, pp. 746–767, 2007.
- F. Dornier and M. Querel, “Caution to the wind,” in Energy and Power Risk Management, pp. 30–32, 2000, Weather Risk Special Report.
- F. E. Benth, J. Šaltytė Benth, and S. Koekebakker, Stochastic Modelling of Electricity and Related Markets, World Scientific, 2008.
- S. D. Campbell and F. X. Diebold, “Weather forecasting for weather derivatives,” Journal of the American Statistical Association, vol. 100, no. 469, pp. 6–16, 2005.
- F. E. Benth and J. Šaltyte-Benth, “Stochastic modelling of temperature variations with a view towards weather derivatives,” Applied Mathematical Finance, vol. 12, no. 1, pp. 53–85, 2005.
- O. E. Barndorff-Nielsen and N. Shephard, “Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics,” Journal of the Royal Statistical Society. Series B, vol. 63, no. 2, pp. 167–241, 2001.
- F. Perez-Gonzales and H. Yun, “Risk management and firm value: evidence from weather derivatives,” AFA Atlanta Meetings Paper, 2010, http://ssrn.com/abstract=1357385.
- P. L. Brockett, M. Wang, C. C. Yang, and H. Zou, “Portfolio effects and valuation of weather derivatives,” Financial Review, vol. 41, no. 1, pp. 55–76, 2006.
- D. Duffie, Dynamic Asset Pricing Theory, Princeton University Press, 1992.
- S. Jewson and A. Brix, Weather Derivative Valuation, Cambridge University Press, 2005.
- G. Dorfleitner and M. Wimmer, “The pricing of temperature futures at the Chicago Mercantile Exchange,” Journal of Banking and Finance, vol. 34, no. 6, pp. 1360–1370, 2010.
- M. Davis, “Pricing weather derivatives by marginal value,” Quantitative Finance, vol. 1, no. 3, pp. 305–308, 2001.
- E. Platen and J. West, “A fair pricing approach to weather derivatives,” Asia-Pacific Financial Markets, vol. 11, no. 1, pp. 23–53, 2005.
- M. Cao and J. Wei, “Weather derivatives valuation and market price of weather risk,” Journal of Futures Markets, vol. 24, no. 11, pp. 1065–1089, 2004.
- H. Hamisultane, “Utility-based pricing of weather derivatives,” European Journal of Finance, vol. 16, no. 6, pp. 503–525, 2010.
- P. Alaton, B. Djehiche, and D. Stillberger, “On modelling and pricing weather derivatives,” Applied Mathematical Finance, vol. 9, no. 1, pp. 1–20, 2002.
- F. E. Benth and J. Šaltytė Benth, “The volatility of temperature and pricing of weather derivatives,” Quantitative Finance, vol. 7, no. 5, pp. 553–561, 2007.
- J. Šaltytė Benth, F. E. Benth, and P. Jalinskas, “A spatial-temporal model for temperature with seasonal variance,” Journal of Applied Statistics, vol. 34, no. 7-8, pp. 823–841, 2007.
- M. Mraoua and D. Bari, “Temperature stochastic modeling and weather derivatives pricing: empirical study with Moroccan data,” Afrika Statistika, vol. 2, no. 1, pp. 22–43, 2007.
- W. Härdle and B. Lopez Cabrera, “Infering the market price of weather risk,” Discussion paper, SFB 649, Humboldt-Universität zu Berlin, 2009.
- W. Härdle, B. Lopez Cabrera, O. Okhrin, and W. Wang, “Localizing temperature risk,” 2011, http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2011-001.pdf.
- P. J. Brockwell, “Lévy-driven CARMA processes,” Annals of the Institute of Statistical Mathematics, vol. 53, no. 1, pp. 113–124, 2001.
- J. Šaltytė Benth and F. E. Benth, “Analysis and modelling of wind speed in New York,” Journal of Applied Statistics, vol. 37, no. 6, pp. 893–909, 2010.
- J. Šaltytė Benth and L. Šaltytė, “Spatio-temporal model for wind speed in Lithuania,” Journal of Applied Statistics, vol. 38, no. 6, pp. 1151–1168, 2011.
- F. E. Benth, W. Härdle, and B. Lopez-Cabrera, “Pricing of Asian temperature risk,” in Statistical Tools for Finance and Insurance, P. Cizek, W. Hardle, and R. Wero, Eds., chapter 5, pp. 163–199, Springer, Berlin, Germany, 2011.
- P. Carr and D. B. Madan, “Option valuation using fast Fourier transform,” Journal of Computational Finance, vol. 2, pp. 61–73, 1998.
- G. B. Folland, Real Analysis, Pure and Applied Mathematics, John Wiley & Sons, New York, NY, USA, 1984.
- P. Protter, Stochastic Integration and Differential Equations, vol. 21 of Applications of Mathematics, Springer, Berlin, Germany, 1990.
- F. E. Benth, “The stochastic volatility model of Barndorff-Nielsen and Shephard in commodity markets,” Mathematical Finance. In press.
- A. Zapranis and A. Alexandridis, “Modelling the temperature time-dependent speed of mean reversion in the context of weather derivatives pricing,” Applied Mathematical Finance, vol. 15, no. 3-4, pp. 355–386, 2008.
- L. Clewlow and C. Strickland, Energy Derivatives. Pricing and Risk Management, Lacima Publishers, 2000.