Challenging the Oldest Risk on Earth: a Non-structural Time-series Approach to Quantify Weather Risk - Paul Gebhardt - Books - LAP LAMBERT Academic Publishing - 9783843391948 - January 12, 2011
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Paul Gebhardt
Challenging the Oldest Risk on Earth: a Non-structural Time-series Approach to Quantify Weather Risk

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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.

Media Books     Paperback Book   (Book with soft cover and glued back)
Released January 12, 2011
ISBN13 9783843391948
Publishers LAP LAMBERT Academic Publishing
Pages 60
Dimensions 226 × 4 × 150 mm   ·   107 g
Language German  

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