WEATHER DERIVATIVES VALUATION AND MARKET PRICE OF WEATHER RISK

By M. Cao, Jason Wei. 2004

218 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Soil Science

View Paper: https://www.semanticscholar.org/paper/6784d32da65ba0f70b34f50902670eabe14e85c8

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. G. Seidler
2. Philip Garcia
3. Maximilian Wimmer
4. J. Woodard
5. Frank Schiller

In Finance

1. G. Seidler
2. Philip Garcia
3. Maximilian Wimmer
4. J. Woodard
5. Frank Schiller

In Soil Science

1. G. Seidler
2. Philip Garcia
3. Maximilian Wimmer
4. J. Woodard
5. Frank Schiller

Citations in the corpus

• Temperature models for pricing weather derivatives (2012, background): “Cao and Wei (2004) demonstrate numerically that the market price of risk associated with temperature is insignificant in most cases, which stresses the importance of a proper prediction for the expected index value.”
• Basis Risk and Weather Hedging Effectiveness (2008, methodology): “Both RICHARDS ET AL (2004) AND CAO AND WEI (2004) employ procedures that directly estimate the market price of risk using equilibrium models.”