Pricing of Asian temperature risk

Fred Espen Benth, Wolfgang Karl Härdle and Brenda Lopez Cabrera
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Fred Espen Benth: University of Oslo, Center of Mathematics for Applications
Wolfgang Karl Härdle: Humboldt Universität zu Berlin and National Central University, Center for Applied Statistics and Economics
Brenda Lopez Cabrera: Humboldt Universität zu Berlin, Center for Applied Statistics and Economics

Chapter 5 in Statistical Tools for Finance and Insurance, 2011, pp 163-199 from Springer

Abstract: 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.

Keywords: Future Price; Daily Average Temperature; Future Contract; Local Linear Regression; Chicago Mercantile Exchange (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/978-3-642-18062-0_5

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