Research Explorer

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Project

Pricing of weather derivatives

Outputs and Outcomes

Code

01SS0213

Duration

22 August 2014 → 30 September 2015

Funding

Regional and community funding: Special Research Fund

Promotor

Dirk De Craemer

Research disciplines

Natural sciences
- Applied mathematics in specific fields
- Statistics
- 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.

English

Dutch

English

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