Dynamical pricing of weather derivatives

By Dorje C. Brody, J. Syroka, Mihail Zervos. 2002

222 citations recorded by the source corpus.

Subfields: Demography, Global and Planetary Change, Soil Science

View Paper: https://www.semanticscholar.org/paper/68b87a8230cb0f6bfc4cf5620bb311435e250864

How researchers see this paper

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

In Demography

In Global and Planetary Change

In Soil Science

Citations in the corpus

Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives (2005, methodology): “The shape of the empirical distributions is not symmetrical (values of skewness are different from zero) and has negative kurtosis; in some cases we observe a multimodal pattern, being a clear sign of strong seasonality.”
On arbitrage‐free pricing of weather derivatives based on fractional Brownian motion (2003, methodology): “Our results coincides of course with those of Brody et al. (2002) when we consider the price at time 0, that is, when the contract is entered.”
Temperature models for pricing weather derivatives (2012, methodology): “( 2002 ) observe that temperature dynamics exhibit long-range temporal dependencies and suggest using an Ornstein–Uhlenbeck process driven by a fractional Brownian motion.”
A Spatial-temporal Model for Temperature with Seasonal Variance (2007, background): “We denote by θ = (θs; θt) T ∈ Θ the k × 1 parameter vector, where Θ is an open subset of R, in (6) and (7).”
The volatility of temperature and pricing of weather derivatives (2007, methodology): “Finally, we would like to mention the fractional model of Brody, Syroka and Zerovs [5], who consider an Ornstein-Uhlenbeck model with a fractional Brownian motion driving the stochastics.”
Putting a Price on Temperature * (2007, methodology): “A different modelling approach using fractional Brownian motion to drive the noise in an Ornstein-Uhlenbeck temperature model is proposed by Brody et al. (2002). Prices for different temperature derivatives are calculated by solving certain partial differential equations.”