Browsing Sonderforschungsbereich 649: Ökonomisches Risiko by Author "7117586fc8b0e240bfb541463c628afd"

Now showing items 1-6 of 6

2014-01-13Diskussionspapier

A consistent two-factor model for pricing temperature derivatives

Groll, Andreas; López-Cabrera, Brenda; Meyer-Brandis, Thilo

We analyze a consistent two-factor model for pricing temperature derivatives that incorporates the forward looking information available in the market by specifying a model for the dynamics of the complete meteorological ...
2012-03-16Diskussionspapier

Forecast based Pricing of Weather Derivatives

Härdle, Wolfgang Karl; López-Cabrera, Brenda; Ritter, Matthias

Forecasting based pricing of Weather Derivatives (WDs) is a new approach in valuation of contingent claims on nontradable underlyings. Standard techniques are based on historical weather data. Forward-looking information ...
2017-08-23Diskussionspapier

Pricing Green Financial Products

Melzer, Awdesch; Härdle, Wolfgang Karl; López-Cabrera, Brenda

With increasing wind power penetration more and more volatile and weather dependent energy is fed into the German electricity system. To manage the risk of windless days and transfer revenue risk from wind turbine owners ...
2017-11-06Diskussionspapier

Realized volatility of CO2 futures

Benschop, Thijs; López-Cabrera, Brenda

The EU Emission Trading System (EU ETS) was created to reduce the CO2 and other greenhouse gas emissions at the lowest economic cost. In reality market participants are faced with considerable uncertainty due to price ...
2013-05-16Diskussionspapier

State Price Densities implied from weather derivatives

Härdle, Wolfgang Karl; López-Cabrera, Brenda; Teng, Huei-Wen

A State Price Density (SPD) is the density function of a risk neutral equivalent martingale measure for option pricing, and is indispensible for exotic option pricing and portfolio risk management. Many approaches have ...
2012-04-25Diskussionspapier

Statistical Modelling of Temperature Risk

Anastasiadou, Zografia; López-Cabrera, Brenda

Recently the topic of global warming has become very popular. The literature has concentrated its attention on the evidence of such effect, either by detecting regime shifts or change points in time series. The majority ...