Search results for "Financial modeling"
showing 3 items of 13 documents
SINGLE FACTOR STOCHASTIC MODELS WITH SEASONALITY APPLIED TO UNDERLYING WEATHER DERIVATIVES VARIABLES
2003
This paper estimates single factor stochastic models describing daily air temperature behaviour. We modify classical financial models to reflect temperature seasonality and fit them to a time series representing temperatures in Spain. The estimated models are used in Montecarlo simulations to obtain heating and cooling degree-days, which are used as an underlying reference in weather derivatives. The final goal of this work is to obtain an insight into weather derivative valuation, and so making it easier to manage economic activity risks closely related to temperature (i.e. oil, gas and electricity prices and volumes). En este trabajo se estiman modelos estocásticos unifactoriales que desc…
Skewness in individual stocks at different investment horizons
2002
Abstract This paper examines the (a)symmetry of several individual stock returns at different investment horizons: daily, weekly and monthly. While some asymmetries are observed in daily returns, they disappear almost completely in weekly and monthly returns. The explanation for this fact lies in the convergence to normality that takes place when the investment horizon increases. These features allow one to question several financial models; in particular, they question the preference for positive skewness as a factor for investments in stock markets.
Applications of statistical mechanics to finance
1999
Abstract We discuss some apparently “universal” aspects observed in the empirical analysis of stock price dynamics in financial markets. Specifically we consider (i) the empirical behavior of the return probability density function and (ii) the content of economic information in financial time series.