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Temperature Models for Pricing Weather Derivatives

Schiller, Frank and Seidler, Gerold and Wimmer, Maximilian (2012) Temperature Models for Pricing Weather Derivatives. Quantitative Finance 12 (3), pp. 489-500.

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Other URL: http://ssrn.com/abstract=1280826, http://www.tandfonline.com/doi/abs/10.1080/14697681003777097


Abstract

We present four models for predicting temperatures that can be used for pricing weather derivatives. Three of the models have been suggested in previous literature, and we propose another model which uses splines to remove trend and seasonality effects from temperature time series in a flexible way. Using historical temperature data from 35 weather stations across the United States, we test the ...

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Item Type:Article
Date:27 February 2012
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner)
Research groups and research centres:Immobilien- und Kapitalmärkte
Identification Number:
ValueType
10.1080/14697681003777097DOI
Classification:
NotationType
C52Journal of Economics Literature Classification
G13Journal of Economics Literature Classification
Q40Journal of Economics Literature Classification
Keywords:Weather Derivatives, Stochastic Processes, Temperature Dynamics, Heating Degree Days, Cooling Degree Days, Daily Simulation
Subjects:300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Owner: Dr. Maximilian Wimmer
Deposited On:07 Dec 2009 12:39
Last Modified:13 Mar 2014 18:52
Item ID:11260
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