Technical paper/Weather derivatives
A latent trawl process model for extreme values
This paper presents a new model for characterizing temporal dependence in exceedances above a given threshold.
Cutting Edge: Co-simulation of risk factors in power markets
A simple but realistic model to co-simulate the time series of temperature, electricity load and prices is proposed
Cutting edge: Hedging price and volumetric risks of fixed-price load-serving contracts in natural gas markets
Cutting edge: Hedging price and volumetric risks of fixed-price load-serving contracts in natural gas markets
Weather risk: gauging the exposure
There is now an array of instruments available to hedge weather exposure, but evaluating that exposure is far harder than quantifying standard exposures such as commodity price risk. Garth Renne and Shaun Hatch discuss approaches to analysing wind and…
Weather option pricing with transaction costs
The weather derivatives market is becoming more liquid, and dynamic hedging of weather options with weather swaps is now possible, though limited by transaction costs. Here Stephen Jewson investigates the effect of such hedging on option pricing
Pricing the weather
Weather derivatives