Hedging Wind Power Risk Exposure through Weather Derivatives

Wind Derivatives: Hedging Wind Risk Msc Thesis Applied Mathematics " Wind Derivatives: Hedging Wind Risk "

Preface Over the last 11 months, I have done research in the field of wind derivatives for my MSc thesis. I performed this research in close cooperation with Mercurious, and my professor Kees Oosterlee. In October 2012 the MSc thesis project was born at CWI in Amsterdam. That day I met with Kees Oosterlee and Jerry de Leeuw (managing director of Mercurious). Mercurious had spotted the opportuni...

Weather Derivatives in the Presence of Index and Geographical Basis Risk: Hedging Dairy Profit Risk

Weather Derivatives in the Presence of Index and Geographical Basis Risk: Hedging Dairy Profit Risk by

Stochastic Models for Pricing Weather Derivatives using Constant Risk Premium

‎Pricing weather derivatives is becoming increasingly useful‎, ‎especially in developing economies‎. ‎We describe a statistical model based approach for pricing  weather derivatives by modeling and forecasting daily average temperatures data which exhibits long-range dependence‎. ‎We pre-process the temperature data by filtering for seasonality and volatility an...

Risk-neutral hedging of interest rate derivatives

In this paper we review the hedging of interest rate derivatives priced under a risk-neutral measure, and we compute self-financing hedging strategies for various derivatives using the Clark-Ocone formula.