Doctoral thesis

The weather derivatives market : modelling and pricing temperature

  • Bellini, Francesca
  • Barone-Adesi, Giovanni (degree supervisor)
    04.07.2005

99 p

Thèse de doctorat: Università della Svizzera italiana, 2005 (jury note: Magna cum laude)

English 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... Show more…
Language
  • English
Classification
Economics
License
License undefined
Identifiers
Persistent URL
https://susi.usi.ch/usi/documents/317935