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International Journal of Stochastic Analysis
Volume 2011 (2011), Article ID 576791, 21 pages
http://dx.doi.org/10.1155/2011/576791
Research Article

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.

Citations to this Article [12 citations]

The following is the list of published articles that have cited the current article.

  • Che Mohd Imran Che Taib, and Fred Espen Benth, “Pricing of temperature index insurance,” Review of Development Finance, vol. 2, no. 1, pp. 22–31, 2012. View at Publisher · View at Google Scholar
  • Fred Espen Benth, and Che Mohd Imran Che Taib, “On the speed towards the mean for continuous time autoregressive moving average processes with applications to energy markets,” Energy Economics, vol. 40, pp. 259–268, 2013. View at Publisher · View at Google Scholar
  • S Parey, Tth Hoang, and D Dacunha-Castelle, “Validation of a stochastic temperature generator focusing on extremes, and an example of use for climate change,” Climate Research, vol. 59, no. 1, pp. 61–75, 2014. View at Publisher · View at Google Scholar
  • Fred Espen Benth, and Salvador Ortiz-Latorre, “A CHANGE of MEASURE PRESERVING the AFFINE STRUCTURE in the BARNDORFF-NIELSEN and SHEPHARD MODEL for COMMODITY MARKETS,” International Journal of Theoretical and Applied Finance, vol. 18, no. 6, 2015. View at Publisher · View at Google Scholar
  • Heng Xiong, and Rogemar Mamon, “A self-updating model driven by a higher-order hidden Markov chain for temperature dynamics,” Journal of Computational Science, 2016. View at Publisher · View at Google Scholar
  • Martina Bobriková, “Weather Risk Management in Agriculture,” Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, vol. 64, no. 4, pp. 1303–1309, 2016. View at Publisher · View at Google Scholar
  • Nalân Gülpınar, and Ethem Çanakoḡlu, “Robust Portfolio Selection Problem under Temperature Uncertainty,” European Journal of Operational Research, 2016. View at Publisher · View at Google Scholar
  • Lu Zong, and Manuela Ender, “Comparison of Stochastic and Spline Models for Temperature-based Derivatives in China,” Pacific Economic Review, 2016. View at Publisher · View at Google Scholar
  • Andreas Groll, Brenda López-Cabrera, and Thilo Meyer-Brandis, “A consistent two-factor model for pricing temperature derivatives,” Energy Economics, vol. 55, pp. 112–126, 2016. View at Publisher · View at Google Scholar
  • Shiyun Li, and Xiaowu Zhu, “Contract design of haze index options and pricing by Monte Carlo simulation,” Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice, vol. 36, no. 10, pp. 2477–2488, 2016. View at Publisher · View at Google Scholar
  • Heng Xiong, and Rogemar Mamon, “Putting a price tag on temperature,” Computational Management Science, 2017. View at Publisher · View at Google Scholar
  • Wolfgang Karl Härdle, Brenda López Cabrera, Ostap Okhrin, and Weining Wang, “Localizing Temperature Risk,” Journal of the American Statistical Association, vol. 111, no. 516, pp. 1491–1508, 2017. View at Publisher · View at Google Scholar