Abstract
Global warming increases weather risk by rising temperatures and increasing between weather patterns. PricewaterhouseCoopers (2005) releases the top 5 sectors in need of financial instruments to hedge weather risk. An increasing number of business hedge risks with weather derivatives (WD): financial contracts whose payments are dependent on weather-related measurements.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
Bibliography
Alaton, P., Djehiche, B. and Stillberger, D. (2002). On modelling and pricing
weather derivatives, Appl. Math. Finance 9(1): 1–20.
Barrieu, P. and El Karoui, N. (2002). Optimal design of weather derivatives
ALGO Research 5(1).
Benth, F. (2003). On arbitrage-free pricing of weather derivatives based on
fractional brownian motion., Appl. Math. Finance 10(4): 303–324.
Benth, F. (2004). Option Theory with Stochastic Analysis: An Introduction to
Mathematical Finance., Springer Verlag, Berlin.
Benth, F. and Meyer-Brandis, T. (2009). The information premium for nonstorable
commodities, Journal of Energy Markets 2(3).
Benth, F. and Saltyte Benth, J. (2005). Stochastic modelling of temperature
variations with a view towards weather derivatives., Appl. Math. Finance
12(1): 53–85.
Benth, F., Saltyte Benth, J. and Koekebakker, S. (2007). Putting a price on
temperature., Scandinavian Journal of Statistics 34: 746–767.
Benth, F., Saltyte Benth, J. and Koekebakker, S. (2008). Stochastic modelling
of electricity and related markets, World Scientific Publishing.
Brody, D., Syroka, J. and Zervos, M. (2002). Dynamical pricing of weather
derivatives, Quantit. Finance (3): 189–198.
Campbell, S. and Diebold, F. (2005). Weather forecasting for weather derivatives
American Stat. Assoc. 100(469): 6–16.
Cao, M. and Wei, J. (2004). Weather derivatives valuation and market price
of weather risk, 24(11): 1065–1089.
CME (2005). An introduction to cme weather products
http://www.vfmarkets.com/pdfs/introweatherfinal.pdf, CME Alternative
Investment Products.
Davis, M. (2001). Pricing weather derivatives by marginal value, Quantit.
Finance (1): 305–308.
Dornier, F. and Querel, M. (2000). Caution to the wind, Energy Power Risk
Management,Weather Risk Special Report pp. 30–32.
Hamisultane, H. (2007). Extracting information from the market to price the
weather derivatives, ICFAI Journal of Derivatives Markets 4(1): 17–46.
H¨ardle, W. K. and L´opez Cabrera, B. (2009). Infering the market price of
weather risk, SFB649 Working Paper, Humboldt-Universit¨at zu Berlin.
Horst, U. and Mueller, M. (2007). On the spanning property of risk bonds
priced by equilibrium, Mathematics of Operation Research 32(4): 784–
807.
Hull, J. (2006). Option, Future and other Derivatives, Prentice Hall International
New Jersey.
Hung-Hsi, H., Yung-Ming, S. and Pei-Syun, L. (2008). Hdd and cdd option
pricing with market price of weather risk for taiwan, The Journal of Future
Markets 28(8): 790–814.
Ichihara, K. and Kunita, H. (1974). A classification of the second order degenerate
elliptic operator and its probabilistic characterization, Z. Wahrsch.
Verw. Gebiete 30: 235–254.
Jewson, S., Brix, A. and Ziehmann, C. (2005). Weather Derivative valuation:
The Meteorological, Statistical, Financial and Mathematical Foundations.
Cambridge University Press.
Karatzas, I. and Shreve, S. (2001). Methods of Mathematical Finance., Springer
Verlag, New York.
Malliavin, P. and Thalmaier, A. (2006). Stochastic Calculus of Variations in
Mathematical finance., Springer Verlag, Berlin, Heidelberg.
Mraoua, M. and Bari, D. (2007). Temperature stochastic modelling and
weather derivatives pricing: empirical study with moroccan data., Afrika
Statistika 2(1): 22–43.
Platen, E. and West, J. (2005). A fair pricing approach to weather derivatives
Asian-Pacific Financial Markets 11(1): 23–53.
PricewaterhouseCoopers (2005). Results of the 2005 pwc survey, presentation to
weather risk managment association by john stell, http://www.wrma.orgPricewatehouseCoopers LLP.
Richards, T., Manfredo, M. and Sanders, D. (2004). Pricing weather derivatives
American Journal of Agricultural Economics 86(4): 1005–10017.
Turvey, C. (1999). The essentials of rainfall derivatives and insurance, Working
Paper WP99/06, Department of Agricultural Economics and Business
University of Guelph, Ontario..
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2011 Springer-Verlag Berlin Heidelberg
About this chapter
Cite this chapter
Benth, F.E., Härdle, W.K., Cabrera, B.L. (2011). Pricing of Asian temperature risk. In: Cizek, P., Härdle, W., Weron, R. (eds) Statistical Tools for Finance and Insurance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-18062-0_5
Download citation
DOI: https://doi.org/10.1007/978-3-642-18062-0_5
Published:
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-18061-3
Online ISBN: 978-3-642-18062-0
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)