Analysis of Temperature Derivatives

Fred Espen Benth, Jūratė Šaltytė Benth and Steen Koekebakker
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Fred Espen Benth: University of Oslo, Norway
Jūratė Šaltytė Benth: University of Oslo, Norway
Steen Koekebakker: University of Agder, Norway

Chapter 10 in Stochastic Modeling of Electricity and Related Markets, 2008, pp 277-318 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Some preliminaries on temperature futuresModelling the dynamics of temperatureThe CAR(p) model with seasonalityA link to time seriesEmpirical analysis of Stockholm temperature dynamicsDescription of the dataEstimating the CAR(p) modelsFitting an AR(1) modelFitting an AR(3) modelIdentification of the parameters in the CAR(p) modelTemperature derivatives pricingCAT futuresHDD/CDD futuresFrost Day index futuresApplication to futures on temperatures in Stockholm

Keywords: Electricity Market; Gas Market; Weather Derivatives; Temperature; Energy Market; Mean Reversion; Ornstein–Uhlenbeck Processes; Jump Processes; Levy Processes; Futures Contracts; Forward Contracts; Options (search for similar items in EconPapers)
Date: 2008
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