Weather derivatives pricing and risk management applications

Detalhes bibliográficos
Autor(a) principal: Anzilotti, Luca
Data de Publicação: 2020
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/102625
Resumo: The main objective of this paper is to discuss suitable methods for the modelling of weather variables and to bring together much of the current thinking in terms of the pricing of their respective derivative contracts (CDD, HDD) with payoffs depending on temperature. In addition to the theoretical overview provided, an empirical investigation is undertaken using historical data from the De Bilt meteorological station: we use the aforementioned data to first suggest a stochastic process that describes the evolution of the temperature. Further, such temperature modelling phase is accompanied by the numerical technique of Monte Carlo simulation for derivatives pricing. Finally, we will analyse some weather-sensitive industries and discuss possible weather hedging strategies they could apply.
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spelling Weather derivatives pricing and risk management applicationsWeather derivativesTemperature modellingDerivatives pricingRisk managementDomínio/Área Científica::Ciências Sociais::Economia e GestãoThe main objective of this paper is to discuss suitable methods for the modelling of weather variables and to bring together much of the current thinking in terms of the pricing of their respective derivative contracts (CDD, HDD) with payoffs depending on temperature. In addition to the theoretical overview provided, an empirical investigation is undertaken using historical data from the De Bilt meteorological station: we use the aforementioned data to first suggest a stochastic process that describes the evolution of the temperature. Further, such temperature modelling phase is accompanied by the numerical technique of Monte Carlo simulation for derivatives pricing. Finally, we will analyse some weather-sensitive industries and discuss possible weather hedging strategies they could apply.Pereira, João PedroRUNAnzilotti, Luca2020-08-20T10:57:21Z2020-01-222020-08-202020-01-22T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/102625TID:202494985enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:48:21Zoai:run.unl.pt:10362/102625Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:39:45.029418Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Weather derivatives pricing and risk management applications
title Weather derivatives pricing and risk management applications
spellingShingle Weather derivatives pricing and risk management applications
Anzilotti, Luca
Weather derivatives
Temperature modelling
Derivatives pricing
Risk management
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Weather derivatives pricing and risk management applications
title_full Weather derivatives pricing and risk management applications
title_fullStr Weather derivatives pricing and risk management applications
title_full_unstemmed Weather derivatives pricing and risk management applications
title_sort Weather derivatives pricing and risk management applications
author Anzilotti, Luca
author_facet Anzilotti, Luca
author_role author
dc.contributor.none.fl_str_mv Pereira, João Pedro
RUN
dc.contributor.author.fl_str_mv Anzilotti, Luca
dc.subject.por.fl_str_mv Weather derivatives
Temperature modelling
Derivatives pricing
Risk management
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Weather derivatives
Temperature modelling
Derivatives pricing
Risk management
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description The main objective of this paper is to discuss suitable methods for the modelling of weather variables and to bring together much of the current thinking in terms of the pricing of their respective derivative contracts (CDD, HDD) with payoffs depending on temperature. In addition to the theoretical overview provided, an empirical investigation is undertaken using historical data from the De Bilt meteorological station: we use the aforementioned data to first suggest a stochastic process that describes the evolution of the temperature. Further, such temperature modelling phase is accompanied by the numerical technique of Monte Carlo simulation for derivatives pricing. Finally, we will analyse some weather-sensitive industries and discuss possible weather hedging strategies they could apply.
publishDate 2020
dc.date.none.fl_str_mv 2020-08-20T10:57:21Z
2020-01-22
2020-08-20
2020-01-22T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/102625
TID:202494985
url http://hdl.handle.net/10362/102625
identifier_str_mv TID:202494985
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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