Search results for "Weather derivative"

showing 3 items of 3 documents

Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options

2010

Weather derivatives have become very popular tools in weather risk management in recent years. One of the elements supporting their diffusion has been the increase in volatility observed on many energy markets. Among the several available contracts, Quanto options are now becoming very popular for a simple reason: they take into account the strong correlation between energy consumption and certain weather conditions, so enabling price and weather risk to be controlled at the same time. These products are more efficient and, in many cases, significantly cheaper than simpler plain vanilla options. Unfortunately, the specific features of energy and weather time series do not enable the use of …

Economics and EconometricsComputer scienceMonte Carlo methodTemperature levelBivariate analysisEnergy priceDynamic modelMicroeconomicsEconomicsEconometricsweather derivatives Quanto options pricing derivative pricing model simulation and forecast.Time seriesQuanto options; Temperature level; Energy price; Dynamic modelMonte Carlo methods for option pricingjel:C53Quanto optionsjel:C51Energy consumptionVariance (accounting)jel:C32Quantojel:G13weather derivatives; Quanto options pricing; derivative pricing; model simulation; forecastjel:L94jel:G17General Energyjel:Q54Binomial options pricing modelVolatility (finance)Futures contract
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Temperature and seasonality influences on Spanish electricity load

2002

Abstract Deregulation of the Spanish electricity market in 1998 and the possible listing of electricity or weather derivative contracts have encouraged the study of the relationship between electricity demand and weather in Spain. In this paper, a transfer function intervention model is developed for forecasting daily electricity load from cooling and heating degree–days. The influence of weather and seasonality is proved, and is significant even when the autoregressive effects and the dynamic specification of the temperature are taken into account. The estimated general model shows a high predictive power. The results and information presented in this paper could be of interest for current…

Economics and Econometricsbusiness.industryWeather derivativeDeregulationGeneral EnergyAutoregressive modelEconometricsEconomicsPredictive powerElectricity marketElectricityListing (finance)businessEnergy economicsEnergy Economics
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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…

Series (mathematics)Stochastic modellingMonte Carlo methodSingle factorWeather derivativeGrados Día Frío Energía Grados Día Calor Estacionalidad Modelos estocásticos y Derivados de la meteorología. Cooling Degree-days Energy Heating Degree-days Seasonality Stochastic Models Weather Derivatives.Seasonalitymedicine.diseasejel:G12jel:G10Valuation (logic)EconometricsmedicineEnvironmental scienceFinancial modelingHeating degree dayFinanceMathematics
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