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Challenging the Oldest Risk on Earth: a Non-structural Time-series Approach to Quantify Weather Risk Paul Gebhardt
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Challenging the Oldest Risk on Earth: a Non-structural Time-series Approach to Quantify Weather Risk
Paul Gebhardt
The main objective of this research is to price temperature-related weather derivatves independent of location and payoff structure. We use historical weather data to make distributional forecasts for 10 different weather locations in Germany. Error terms of our forecasts are bootstraped from the empricial distribution to incorporate the non- normality of weather surprises. Explicit pricing dynamics of our model are analysed, along with a discussion on indifference pricing.
| Medios de comunicación | Libros Paperback Book (Libro con tapa blanda y lomo encolado) |
| Publicado | 12 de enero de 2011 |
| ISBN13 | 9783843391948 |
| Editores | LAP LAMBERT Academic Publishing |
| Páginas | 60 |
| Dimensiones | 226 × 4 × 150 mm · 107 g |
| Lengua | Alemán |