[1]
|
L. Zeng, “Weather Derivatives and Weather Insurance: Concept, Application and Analysis,” Bulletin of the American Meteorological Society, Vol. 81, No. 9, 2000, pp. 2075-2081.
doi:10.1175/1520-0477(2000)081<2075:WDAWIC>2.3.CO;2
|
[2]
|
M. Cao and J. Wei, “Pricing the Weather,” Risk Magazine, May 2000, pp. 67-70.
|
[3]
|
F. Dornier and M. Queruel, “Caution to the Wind,” Energy and Power Risk Management, 2000, pp. 30-32.
|
[4]
|
M. H. A. Davis, “Pricing Weather Derivative by Marginal Value,” Quantitative Finance, Vol. 1, No. 3, 2001, pp. 305308. doi:10.1080/713665730
|
[5]
|
D. C. Brody, J. Syroka and M. Zervos, “Dynamical Pricing of Weather Derivatives,” Quantitative Finance, Vol. 2, No. 3, 2002, pp. 189-198.
doi:10.1088/1469-7688/2/3/302
|
[6]
|
F. E. Benth, “On Arbitrage-Free Pricing of Weather Derivatives Based on Fractional Brownian Motion,” Applied Mathematical Finance, Vol. 10, No. 4, 2003, pp. 303324. doi:10.1080/1350486032000174628
|
[7]
|
F. E. Benth and J. Saltyte-Benth, “Sthochastic Modeling of Temperature Variations with a View towards Weather Derivatives,” Applied Mathematical Finance, Vol. 12, No. 1, 2005, pp. 53-85. doi:10.1080/1350486042000271638
|
[8]
|
F. E. Benth and J. Saltyte-Benth, “The Volatility of Temperature and Pricing of Weather Derivatives,” Quantitative Finance, Vol. 7, No. 5, 2007, pp. 553-561.
doi:10.1080/14697680601155334
|
[9]
|
F. E. Benth, J. Saltyte-Benth and S. Koekebakker, “Putting a Price on Temperature,” Scandinavian Journal of Statistics, Vol. 34, No. 4, 2007, pp. 746-767.
|
[10]
|
A. D. Zapranis and A. Alexandridis, “Modeling the Temperature Time-Dependent Spped of Mean Reversion in the Context of Weather Derivatives Pricing,” Applied Mathematical Finance, Vol. 15, No. 4, 2008, pp. 355-386.
doi:10.1080/13504860802006065
|
[11]
|
A. Papapantoleon, “An Introduction to Lévy Processes with Applications in Finance,” Lecture Notes, Berlin, 2008.
http://page.math.tu-berlin.de/~papapan/papers/introduction.pdf
|
[12]
|
P. Alaton, B. Djehiche and D. Stillberger, “On Modeling and Pricing Weather Derivatives,” Applied Mathematical Finance, Vol. 9, No. 8, 2002, pp. 1-20.
doi:10.1080/13504860210132897
|
[13]
|
A. J. McNeil, R. Frey and P. Embrechts, “Quantitative Risk Management: Concepts, Techniques and Tools,” Princeton University Press, Princeton, 2005.
|
[14]
|
P. J. Brockwell and T. Marquardt, “Lévy-Driven and Fractionally Integrated ARMA Processes with Continuous Time Parameter,” Statistica Sinica, Vol. 15, No. 2, 2005, pp. 477-494.
|
[15]
|
F. E. Benth, J. Saltyte-Benth and S. Koekebakker, “Stochastic Modeling of Electricity and Related Markets,” World Scientific Press, The Singapore City, 2008.
|
[16]
|
F. E. Benth and J. Saltyte-Benth, “The Normal Inverse Gaussian Distribution and Spot Price Modeling in Energy Markets,” International Journal of Theoretical Applied Finance, Vol. 7, No. 2, 2004, pp. 177-192.
doi:10.1142/S0219024904002360
|
[17]
|
E. Hewitt and K. R. Stromberg, “Real and Abstract Analysis: A Modern Treatment of the Theory of Functions of a Real Variable,” Springer-Verlag, Berlin, 1965.
|
[18]
|
K. Chourdakis, “Option Pricing Using the Fractional FFT,” Journal of Computational Finance, Vol. 8, No. 2, 2004, pp. 1-18.
|