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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...

Event risk, contingent claims and the temporal resolution of uncertainty

Collin-Dufresne, Pierre ; Hugonnier, Julien

In: Mathematics and Financial Economics, 2014, vol. 8, no. 1, p. 29-69

Evolutionary stable stock markets

Evstigneev, Igor ; Hens, Thorsten ; Schenk-Hoppé, Klaus

In: Economic Theory, 2006, vol. 27, no. 2, p. 449-468

Asymptotic power utility-based pricing and hedging

Kallsen, Jan ; Muhle-Karbe, Johannes ; Vierthauer, Richard

In: Mathematics and Financial Economics, 2014, vol. 8, no. 1, p. 1-28

The structure of optimal consumption streams in general incomplete markets

Malamud, Semyon ; Trubowitz, Eugene

In: Mathematics and Financial Economics, 2007, vol. 1, no. 2, p. 129-161

Indifference pricing for CRRA utilities

Malamud, Semyon ; Trubowitz, Eugene ; Wüthrich, Mario

In: Mathematics and Financial Economics, 2013, vol. 7, no. 3, p. 247-280

Additive habit formation: consumption in incomplete markets with random endowments

Muraviev, Roman

In: Mathematics and Financial Economics, 2011, vol. 5, no. 2, p. 67-99

Quasi Risk-Neutral Pricing in Insurance

Niederau, Harry ; Zweifel, Peter

In: ASTIN Bulletin, 2009, vol. 39, no. 1, p. 317-337