Nothing Special   »   [go: up one dir, main page]
create a website
An equilibrium pricing model for weather derivatives in a multi-commodity setting. (2009). Oren, Shmuel S. ; Lee, Yongheon .
In: Energy Economics.
RePEc:eee:eneeco:v:31:y:2009:i:5:p:702-713.

Full description at Econpapers || Download paper

Cited: 17

Citations received by this document

Cites: 14

References cited by this document

Cocites: 22

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Effectiveness and Feasibility of Market Makers for P2P Electricity Trading. (2022). Yamada, Yuji ; Tanaka, Kenji ; Kuno, Shinji.
    In: Energies.
    RePEc:gam:jeners:v:15:y:2022:i:12:p:4218-:d:834107.

    Full description at Econpapers || Download paper

  2. Going for Derivatives or Forwards? Minimizing Cashflow Fluctuations of Electricity Transactions on Power Markets. (2021). Matsumoto, Takuji ; Yamada, Yuji.
    In: Energies.
    RePEc:gam:jeners:v:14:y:2021:i:21:p:7311-:d:671846.

    Full description at Econpapers || Download paper

  3. Customized yet Standardized Temperature Derivatives: A Non-Parametric Approach with Suitable Basis Selection for Ensuring Robustness. (2021). Yamada, Yuji ; Matsumoto, Takuji.
    In: Energies.
    RePEc:gam:jeners:v:14:y:2021:i:11:p:3351-:d:570607.

    Full description at Econpapers || Download paper

  4. Simultaneous hedging strategy for price and volume risks in electricity businesses using energy and weather derivatives1. (2021). Yamada, Yuji ; Matsumoto, Takuji.
    In: Energy Economics.
    RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988321000062.

    Full description at Econpapers || Download paper

  5. Pricing analysis of wind power derivatives for renewable energy risk management. (2021). Prokopczuk, Marcel ; Homann, Lasse ; Kanamura, Takashi.
    In: Applied Energy.
    RePEc:eee:appene:v:304:y:2021:i:c:s0306261921011557.

    Full description at Econpapers || Download paper

  6. Natural gas price, market fundamentals and hedging effectiveness. (2020). Zhu, Zhen ; Chen, Sheng-Hung ; Chiou-Wei, Song-Zan.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:78:y:2020:i:c:p:321-337.

    Full description at Econpapers || Download paper

  7. Risk management of renewable power producers from co-dependencies in cash flows. (2020). Owusu, Abena ; Kar, Koushik ; Gupta, Aparna ; Bhattacharya, Saptarshi.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:283:y:2020:i:3:p:1081-1093.

    Full description at Econpapers || Download paper

  8. Hedging size risk: Theory and application to the US gas market. (2017). Roncoroni, Andrea ; Id, Rachid .
    In: Energy Economics.
    RePEc:eee:eneeco:v:64:y:2017:i:c:p:415-437.

    Full description at Econpapers || Download paper

  9. An equilibrium model for the OTC derivatives market with a collateral agreement. (2016). Takino, Kazuhiro .
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:4:y:2016:i:1:p:41-55.

    Full description at Econpapers || Download paper

  10. Assessing and hedging the cost of unseasonal weather: Case of the apparel sector. (2015). Brusset, Xavier ; Bertrand, Jean-Louis ; Fortin, Maxime .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:244:y:2015:i:1:p:261-276.

    Full description at Econpapers || Download paper

  11. Pricing Inefficiencies in Private Real Estate Markets Using Total Return Swaps. (2012). Marcato, Gianluca ; Lizieri, Colin ; Ogden, Paul ; Baum, Andrew.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:45:y:2012:i:3:p:774-803.

    Full description at Econpapers || Download paper

  12. Optimal Static Hedging of Energy Price and Volume Risk: Closed-Form Results. (2012). Roncoroni, Andrea ; Javier Orlando Pantoja Robayo, .
    In: DOCUMENTOS DE TRABAJO CIEF.
    RePEc:col:000122:010668.

    Full description at Econpapers || Download paper

  13. A Multi Period Equilibrium Pricing Model. (2012). Zhang, Huayue ; Pirvu, Traian A..
    In: Papers.
    RePEc:arx:papers:1205.6193.

    Full description at Econpapers || Download paper

  14. Spatial Risk Premium on Weather Derivatives and Hedging Weather Exposure in Electricity. (2012). Osipenko, Maria ; Hardle, Wolfgang Karl.
    In: The Energy Journal.
    RePEc:aen:journl:33-2-07.

    Full description at Econpapers || Download paper

  15. Optimal Static Hedging of Volumetric Risk in a Competitive Wholesale Electricity Market. (2010). Oum, Yumi ; Oren, Shmuel S.
    In: Decision Analysis.
    RePEc:inm:ordeca:v:7:y:2010:i:1:p:107-122.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Ankirchner, S. ; Imkeller, P. ; Popier, A. Optimal cross hedging of insurance derivatives. 2006 En : Working paper. :
    Paper not yet in RePEc: Add citation now
  2. Audet, N. ; Heiskanen, P. ; Keppo, J. ; Vehvilainen, I. Modeling electricity forward curve dynamics in the Nordic market. Modelling prices in competitive electricity markets. 2004 En : Bunn, D.W. Wiley Series in Financial Economics. :
    Paper not yet in RePEc: Add citation now

  3. Brockett, P.L. ; Wang, M. Portfolio effects and valuation of weather derivatives. 2006 Financ. Rev.. 41-

  4. Cao, M. ; Wei, J. Pricing weather derivative: an equilibrium approach. 1999 En : Working paper. :

  5. Carr, P. ; Madan, D. Optimal positioning in derivative securities. 2001 Quantitative Finance. 1 19-37

  6. Chaumont, S. ; Imkeller, P. ; Muller, M. ; Horst, U. A simple model for trading climate risk. 2005 Quarterly Journal of Economic Research. 74-

  7. CME, An Introduction to CME Weather Products. 2005 :
    Paper not yet in RePEc: Add citation now

  8. Deng, S. ; Oren, S.S. Electricity derivatives and risk management. 2006 Energy. 31-

  9. Dutton, J.A. Opportunities and priorities in a new era for weather and climate services. 2002 Am. Meteorol. Soc.. -
    Paper not yet in RePEc: Add citation now

  10. Hamisultane, H. Extracting information from the market to price the weather derivatives. 2007 Icfai Journal of Derivatives Markets. 4 17-46

  11. Kroll, Y. ; Levy, H. ; Markowitz, H.M. Mean–variance versus direct utility maximization. 1984 J. Finance. 39 47-61

  12. Oum, Y. ; Oren, S.S. ; Deng, S. Hedging quantity risks with standard power options in a competitive wholesale electricity market. 2006 Nav. Res. Logist.. 53-
    Paper not yet in RePEc: Add citation now

  13. Platen, E. ; West, J. A fair pricing approach to weather derivatives. 2004 Asia-Pac. Financ. Mark.. 11 23-53

  14. Richards, T.J. ; Manfredo, M.R. ; Sanders, D.R. Pricing weather derivatives. 2004 Am. J. Agric. Econ.. 86-

Cocites

Documents in RePEc which have cited the same bibliography

  1. Risk valuation of quanto derivatives on temperature and electricity. (2023). Vadillo, Nerea ; Alfonsi, Aur'Elien.
    In: Papers.
    RePEc:arx:papers:2310.07692.

    Full description at Econpapers || Download paper

  2. Wind Put Barrier Options Pricing Based on the Nordix Index. (2021). Contreras, Javier ; Perez-Uribe, Miguel A ; Rodriguez, Yeny E.
    In: Energies.
    RePEc:gam:jeners:v:14:y:2021:i:4:p:1177-:d:504014.

    Full description at Econpapers || Download paper

  3. Going for Derivatives or Forwards? Minimizing Cashflow Fluctuations of Electricity Transactions on Power Markets. (2021). Matsumoto, Takuji ; Yamada, Yuji.
    In: Energies.
    RePEc:gam:jeners:v:14:y:2021:i:21:p:7311-:d:671846.

    Full description at Econpapers || Download paper

  4. Customized yet Standardized Temperature Derivatives: A Non-Parametric Approach with Suitable Basis Selection for Ensuring Robustness. (2021). Yamada, Yuji ; Matsumoto, Takuji.
    In: Energies.
    RePEc:gam:jeners:v:14:y:2021:i:11:p:3351-:d:570607.

    Full description at Econpapers || Download paper

  5. Simultaneous hedging strategy for price and volume risks in electricity businesses using energy and weather derivatives1. (2021). Yamada, Yuji ; Matsumoto, Takuji.
    In: Energy Economics.
    RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988321000062.

    Full description at Econpapers || Download paper

  6. Pricing analysis of wind power derivatives for renewable energy risk management. (2021). Prokopczuk, Marcel ; Homann, Lasse ; Kanamura, Takashi.
    In: Applied Energy.
    RePEc:eee:appene:v:304:y:2021:i:c:s0306261921011557.

    Full description at Econpapers || Download paper

  7. Pricing temperature derivatives with a filtered historical simulation approach. (2019). Pai, Jeffrey ; Li, Johnny Siu-Hang ; Zhou, Rui.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:25:y:2019:i:15:p:1462-1484.

    Full description at Econpapers || Download paper

  8. Valuation of an option using non-parametric methods. (2019). Tsai, Ming Shann ; Chiang, Shu Ling.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:22:y:2019:i:3:d:10.1007_s11147-018-09153-6.

    Full description at Econpapers || Download paper

  9. A Dynamic Programming Approach for Pricing Weather Derivatives under Issuer Default Risk. (2017). Härdle, Wolfgang ; Osipenko, Maria ; Hardle, Wolfgang Karl.
    In: IJFS.
    RePEc:gam:jijfss:v:5:y:2017:i:4:p:23-:d:115840.

    Full description at Econpapers || Download paper

  10. Robust portfolio selection problem under temperature uncertainty. (2017). Gulpinar, Nalan ; Anakolu, Ethem.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:256:y:2017:i:2:p:500-523.

    Full description at Econpapers || Download paper

  11. A consistent two-factor model for pricing temperature derivatives. (2016). López Cabrera, Brenda ; Groll, Andreas ; Lopez-Cabrera, Brenda ; Meyer-Brandis, Thilo.
    In: Energy Economics.
    RePEc:eee:eneeco:v:55:y:2016:i:c:p:112-126.

    Full description at Econpapers || Download paper

  12. Modeling the Dynamics of Temperature with a View to Weather Derivatives. (2015). Skiadopoulos, George ; Konstantinidi, Eirini ; Papazian, Gkaren.
    In: World Scientific Book Chapters.
    RePEc:wsi:wschap:9789814566926_0017.

    Full description at Econpapers || Download paper

  13. The role of weather derivatives and portfolio effects in agricultural water management. (2014). Musshoff, Oliver ; Buchholz, Matthias.
    In: Agricultural Water Management.
    RePEc:eee:agiwat:v:146:y:2014:i:c:p:34-44.

    Full description at Econpapers || Download paper

  14. Pricing Weather Derivatives Using the Indifference Pricing Approach. (2009). Yang, Charles ; Wen, Min-Ming ; Goldens, Linda ; Brockett, Patrick.
    In: North American Actuarial Journal.
    RePEc:taf:uaajxx:v:13:y:2009:i:3:p:303-315.

    Full description at Econpapers || Download paper

  15. Hedging with weather derivatives: a role for options in reducing basis risk. (2009). Richards, Timothy ; Manfredo, Mark.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:19:y:2009:i:2:p:87-97.

    Full description at Econpapers || Download paper

  16. An equilibrium pricing model for weather derivatives in a multi-commodity setting. (2009). Oren, Shmuel S. ; Lee, Yongheon .
    In: Energy Economics.
    RePEc:eee:eneeco:v:31:y:2009:i:5:p:702-713.

    Full description at Econpapers || Download paper

  17. Hedging von Mengenrisiken in der Landwirtschaft – Wie teuer dürfen „ineffektive“ Wetterderivate sein?. (2008). Musshoff, Oliver ; Hirschauer, Norbert ; Muhoff, Oliver .
    In: German Journal of Agricultural Economics.
    RePEc:ags:gjagec:97605.

    Full description at Econpapers || Download paper

  18. Indifference Pricing of Weather Insurance. (2007). Xu, Wei ; Odening, Martin ; Musshoff, Oliver.
    In: 101st Seminar, July 5-6, 2007, Berlin Germany.
    RePEc:ags:eaa101:9267.

    Full description at Econpapers || Download paper

  19. Zur Bewertung von Wetterderivaten als innovative Risikomanagementinstrumente in der Landwirtschaft. (2005). Xu, Wei ; Odening, Martin ; Musshoff, Oliver.
    In: German Journal of Agricultural Economics.
    RePEc:ags:gjagec:97216.

    Full description at Econpapers || Download paper

  20. Hedging gas bills with weather derivatives. (2002). Leggio, Karyl ; Lien, Donald.
    In: Journal of Economics and Finance.
    RePEc:spr:jecfin:v:26:y:2002:i:1:p:88-100.

    Full description at Econpapers || Download paper

  21. WEATHER DERIVATIVES: MANAGING RISK WITH MARKET-BASED INSTRUMENTS. (2002). Richards, Timothy ; Manfredo, Mark ; Sanders, Dwight R..
    In: 2002 Conference, April 22-23, 2002, St. Louis, Missouri.
    RePEc:ags:ncrtwo:19074.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-25 13:13:20 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.