Continuous-time models for temperature and wind speed

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

Chapter 4 in Modeling and Pricing in Financial Markets for Weather Derivatives, 2012, pp 77-106 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractHere we introduce the basics of the continuous-time ARMA models for temperature and wind speed. These stochastic processes are then identified with the discrete-time ARMA dynamics fitted to Lithuanian data in Chapter 3.

Keywords: Weather Derivatives; Stochastic Processes; HDD; CDD; Autoregressive Moving Average Time Series; Futures Contracts; Options; Utility Pricing; Girsanov Transform; Esscher Transform; Precipitation; Temperature; Wind Speed (search for similar items in EconPapers)
Date: 2012
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