2009-09-15Masterarbeit DOI: 10.18452/14105
Statistical Analysis of Asian WeatherDerivatives
Since last decade, weather derivatives have been traded by Chicago Mercantile Exchange(CME) to hedge the weather risk. In addition to HDD,CDD and CAT, which are index written on the temperature in U.S. and Europe, Pacific Rim Index is newly developed and actively traded nowadays. In terms of the great value of research on this new instrument, we study the temperature dynamics of 4 cities in Asia: Tokyo, Osaka, Taipei and Beijing by a continuous-time autoregressive process. We further inferred the market price of risk from Tokyo and Osaka futures on CME as both a piecewise constant linear function and a time-dependent object. At last, we estimated Tokyo & Osaka future prices with the extracted market price of risk, and studied the risk premium with respect to the prices when market price of risk equals to zero.
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