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The weather derivatives market : modelling and pricing temperature

Bellini, Francesca ; Barone-Adesi, Giovanni (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2005 ; 2005ECO001.

The main objective of the thesis is to find a pricing model for weather derivatives based on temperature. A general Ornstein-Uhlenbeck process with seasonal mean and volatility is proposed to model the time-dynamics of daily average temperatures. The model is fitted to almost 54 years of daily observations recorded in Chicago, Philadelphia, Portland and Tucson. The unequivocal evidence of fat...