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Forecast-Based Pricing of Weather Derivatives
16 references·0 citing·37 second hop
Forecast-Based Pricing of Weather Derivatives (2015)Forecast-Based Pricing of Weather Derivat…The Implied Market Price of Weather Risk (2011)The Implied Market Price of W…The pricing of temperature futures at the Chicago Mercantile Exchange (2009)The pricing of temperature fu…The information premium for non-storable commodities (2009)The information premium for n…Pricing Weather Derivatives Using the Indifference Pricing Approach (2009)Pricing Weather Derivatives U…Putting a Price on Temperature* (2007)Putting a Price on Temperatur…Weather Forecasting for Weather Derivatives (2005)Weather Forecasting for Weath…Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives (2005)Stochastic Modelling of Tempe…Weather derivatives valuation and market price of weather risk (2004)Weather derivatives valuation…Weather Derivatives and Seasonal Forecasts (2004)Weather Derivatives and Seaso…Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns (2004)Occasional structural breaks …The use of weather forecasts in the pricing of weather derivatives (2003)The use of weather forecasts …On arbitrage‐free pricing of weather derivatives based on fractional Brownian motion (2003)On arbitrage‐free pricing of …On modelling and pricing weather derivatives (2002)On modelling and pricing weat…Dynamical pricing of weather derivatives (2002)Dynamical pricing of weather …Pricing weather derivatives by marginal value (2001)Pricing weather derivatives b…Long memory and regime switching (2001)Long memory and regime switch…Generalized autoregressive conditional heteroskedasticity (1986)Stochastic Differential Equations: An Introduction with Applications. (1987)Stochastic Differential Equations (2003)Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes (2013)Arbitrage Theory in Continuous Time (1998)Stochastic Differential Equations (1998)Pricing Weather Derivatives (2004)The volatility of temperature and pricing of weather derivatives (2007)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes (2005)Asset Prices in an Exchange Economy (1978)The equity premium: A puzzle (1985)Innovating Development Finance - From Financing Sources To Financial Solutions (2009)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Comparing Predictive Accuracy (1994)Dealing with Structural Breaks (2005)The Volatility of Realized Volatility (2008)Volatility Is Rough (2018)Fractional Brownian Motions, Fractional Noises and Applications (1968)Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Processes. (1996)A General Fractional White Noise Theory And Applications To Finance (2003)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Modelling Extremal Events (1997)Forecasting Volatility in Financial Markets: A Review (2003)Chapter 8 Growth Econometrics (2005)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Probabilistic Forecasts, Calibration and Sharpness (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Climate Risks and Market Efficiency (2016)Futures pricing in electricity markets based on stable CARMA spot models (2014)Joint price and volumetric risk in wind power trading: A copula approach (2016)
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References

  • 2001Long memory and regime switching1,162 cited
  • 2004Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns784 cited
  • 2005Weather Forecasting for Weather Derivatives403 cited
  • 2002On modelling and pricing weather derivatives398 cited
  • 2002Dynamical pricing of weather derivatives221 cited
  • 2001Pricing weather derivatives by marginal value214 cited
  • 2004Weather derivatives valuation and market price of weather risk209 cited
  • 2005Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives196 cited
  • 2007Putting a Price on Temperature*120 cited
  • 2009The information premium for non-storable commodities94 cited
  • 2003On arbitrage‐free pricing of weather derivatives based on fractional Brownian motion85 cited
  • 2011The Implied Market Price of Weather Risk83 cited
  • 2009The pricing of temperature futures at the Chicago Mercantile Exchange78 cited
  • 2003The use of weather forecasts in the pricing of weather derivatives44 cited
  • 2009Pricing Weather Derivatives Using the Indifference Pricing Approach30 cited

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2004
Weather Derivatives and Seasonal Forecasts
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