Essays about: "Weather derivatives"

Showing result 1 - 5 of 6 essays containing the words Weather derivatives.

  1. 1. An Analysis of Markov Regime-Switching Models for Weather Derivative Pricing

    University essay from Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakulteten

    Author : Fredrik Gerdin Börjesson; [2021]
    Keywords : Weather derivatives; temperature modeling; Markov switching models; Lévy processes; expectation-maximization algorithm; generalized hyperbolic distributions; Monte Carlo simulation;

    Abstract : The valuation of weather derivatives is greatly dependent on accurate modeling and forecasting of the underlying temperature indices. The complexity and uncertainty in such modeling has led to several temperature processes being developed for the Monte Carlo simulation of daily average temperatures. READ MORE

  3. 2. Hedging of Weather Derivatives

    University essay from Uppsala universitet/Tillämpad matematik och statistik

    Author : John Larsson; [2020]
    Keywords : ;

    Abstract : .... READ MORE

  4. 3. Modelling Seasonalities of HPFCs Using a Parametric Approach

    University essay from Lunds universitet/Matematisk statistik

    Author : Reza Rastegar; Lucas Svantesson; [2019]
    Keywords : Power Markets; Hourly Price Forward Curves; Seasonality; Electricity Spot Price; Mathematics and Statistics;

    Abstract : Electricity differs from other commodities in that it cannot be stored. This non-storability characteristic results in traditional pricing methods for commodities not being applicable for electricity. An alternative pricing method is therefore needed and the solution is the Hourly Price Forward Curve (HPFC). READ MORE

  5. 4. Optimization of hydro power on the Nordic electricity exchange using financial derivatives

    University essay from KTH/Matematisk statistik

    Author : Viktor Enoksson; Fredrik Svedberg; [2015]
    Keywords : Optimization; hydro power; linear programming; stochastic programming; scenario construction; stochastic inflow modeling; financial derivatives on electricity.;

    Abstract : Since the deregulation of the Nordic electricity market in 1996, electricity has become one of the most traded commodities in the Nordic region. The electricity price is characterized by large fluctuations as the supply and demand of electricity are seasonally dependent. READ MORE

  6. 5. Barrier Quanto Options in Energy Markets

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Adriano Tosi; [2013]
    Keywords : Business and Economics;

    Abstract : Weather derivatives have increased their relevance in energy markets throughout the last years. Among them, quanto options are one of the fairly new contracts that are traded, over the counter, to manage price and volume risk. Their research literature is scarce and few papers have been published so far. READ MORE