Code
01SS0213
Duration
22 August 2014 → 30 September 2015
Funding
Regional and community funding: Special Research Fund
Promotor
Research disciplines
-
Natural sciences
- Applied mathematics in specific fields
- Statistics and numerical methods
-
Social sciences
- Applied economics
Keywords
weather derivatives
multivariate Ornstein-Uhlenbeck (OU) processes
CARMA-model
Malliavin derivative
American options
Project description
Temperature and wind are important weather factors influencing the economy. Income in sectors such as tourism, catering industry, agriculture is very dependent on the weather. Weather risks can be hedge by means of weather derivatives which are financial products that are more flexible and cheaper than classical insurance. The aim of the project is to price such financial weather derivatives.