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1

The use of weather forecasts in the pricing of weather derivatives

Stephen Jewson, Rodrigo Caballero

Journal:

Meteorological Applications

Année:

2003

Langue:

english

Fichier:

PDF, 150 KB

english, 2003

2

Seasonality in the statistics of surface air temperature and the pricing of weather derivatives

Stephen Jewson, Rodrigo Caballero

Journal:

Meteorological Applications

Année:

2003

Langue:

english

Fichier:

PDF, 281 KB

english, 2003

3

Weather Derivative Valuation (The Meteorological, Statistical, Financial and Mathematical Foundations) || The valuation of single contracts using burn analysis

Jewson, Stephen, Brix, Anders, Ziehmann, Christine

Année:

2005

Langue:

english

Fichier:

PDF, 403 KB

english, 2005

4

Introduction to Weather Derivative Pricing

Jewson, Stephen

Journal:

The Journal of Alternative Investments

Année:

2004

Langue:

english

Fichier:

PDF, 431 KB

english, 2004

5

Weather Derivative Pricing and Risk Management: Volatility and Value at Risk

Jewson, Stephen

Journal:

SSRN Electronic Journal

Année:

2003

Fichier:

PDF, 258 KB

2003

6

The Black-Scholes Equation for Weather Derivatives

Jewson, Stephen, Zervos, Mihail

Journal:

SSRN Electronic Journal

Année:

2003

Langue:

english

Fichier:

PDF, 147 KB

english, 2003

7

Weather Derivative Pricing and the Interpretation of Linear Trend Models

Jewson, Stephen, Penzer, Jeremy

Journal:

SSRN Electronic Journal

Année:

2004

Langue:

english

Fichier:

PDF, 120 KB

english, 2004

8

Closed-Form Expressions for the Pricing of Weather Derivatives: Part 2 - The Greeks

Jewson, Stephen

Journal:

SSRN Electronic Journal

Année:

2003

Langue:

english

Fichier:

PDF, 155 KB

english, 2003

9

Multivariate Long-Memory Modeling of Daily Surface Air Temperatures and the Valuation of Weather Derivative Portfolios

Jewson, Stephen, Caballero, Rodrigo

Journal:

SSRN Electronic Journal

Année:

2003

Fichier:

PDF, 441 KB

2003

10

Weather Derivative Valuation (The Meteorological, Statistical, Financial and Mathematical Foundations) || Modelling non-temperature data

Jewson, Stephen, Brix, Anders, Ziehmann, Christine

Année:

2005

Fichier:

PDF, 575 KB

2005

11

Weather Derivative Valuation (The Meteorological, Statistical, Financial and Mathematical Foundations) || Risk management

Jewson, Stephen, Brix, Anders, Ziehmann, Christine

Année:

2005

Fichier:

PDF, 390 KB

2005

12

Weather Derivative Valuation (The Meteorological, Statistical, Financial and Mathematical Foundations) || Arbitrage pricing models

Jewson, Stephen, Brix, Anders, Ziehmann, Christine

Année:

2005

Fichier:

PDF, 456 KB

2005

13

A new parametric model for the assessment and calibration of medium-range ensemble temperature forecasts

Stephen Jewson, Anders Brix, Christine Ziehmann

Journal:

Atmospheric Science Letters

Année:

2004

Langue:

english

Fichier:

PDF, 138 KB

english, 2004

14

Simulations of time-coincident, co-located measurements from ENVISAT-1 instruments for the characterization of tropospheric aerosols: A sensitivity study including cloud contamination effects

Rowan T. Sutton, Warwick A. Norton, Stephen P. Jewson

Journal:

Atmospheric Science Letters

Année:

2000

Langue:

english

Fichier:

PDF, 1.09 MB

english, 2000

15

The North Atlantic Oscillation—What Role for the Ocean?

Rowan T. Sutton, Warwick A. Norton, Stephen P. Jewson

Journal:

Atmospheric Science Letters

Année:

2000

Langue:

english

Fichier:

PDF, 14 KB

english, 2000

16

Using ensemble forecasts to predict the size of forecast changes, with application to weather swap value at risk

Stephen Jewson, Christine Ziehmann

Journal:

Atmospheric Science Letters

Année:

2003

Langue:

english

Fichier:

PDF, 125 KB

english, 2003

17

Statistical modelling of North Atlantic tropical cyclone tracks

TIMOTHY M. HALL, STEPHEN JEWSON

Journal:

Année:

2007

Langue:

english

Fichier:

PDF, 1.38 MB

english, 2007

18

Interannual temperature predictions using the CMIP3 multi-model ensemble mean

Laepple, Thomas, Jewson, Stephen, Coughlin, Katie

Journal:

Geophysical Research Letters

Année:

2008

Langue:

english

Fichier:

PDF, 288 KB

english, 2008

19

Weather Derivative Valuation (The Meteorological, Statistical, Financial and Mathematical Foundations) || Data cleaning and trends

Jewson, Stephen, Brix, Anders, Ziehmann, Christine

Année:

2005

Langue:

english

Fichier:

PDF, 454 KB

english, 2005

20

Weather Derivative Valuation (The Meteorological, Statistical, Financial and Mathematical Foundations) ||

Jewson, Stephen, Brix, Anders, Ziehmann, Christine

Année:

2005

Langue:

english

Fichier:

PDF, 286 KB

english, 2005

21

Weather Derivative Valuation (The Meteorological, Statistical, Financial and Mathematical Foundations) || Weather derivatives and the weather derivatives market

Jewson, Stephen, Brix, Anders, Ziehmann, Christine

Année:

2005

Langue:

english

Fichier:

PDF, 469 KB

english, 2005

22

Estimating Trends in Weather Series: Consequences for Pricing Derivatives

Jewson, Stephen, Penzer, Jeremy

Journal:

Studies in Nonlinear Dynamics and Econometrics

Année:

2006

Langue:

english

Fichier:

PDF, 257 KB

english, 2006

23

Co-existence and survival of diatoms on sand grains

Jewson, David H., Lowry, Stephen F., Bowen, Richard

Journal:

European Journal of Phycology

Année:

2006

Langue:

english

Fichier:

PDF, 371 KB

english, 2006

24

Comparison of Local and Basinwide Methods for Risk Assessment of Tropical Cyclone Landfall

Hall, Timothy M., Jewson, Stephen

Journal:

Journal of Applied Meteorology and Climatology

Année:

2008

Langue:

english

Fichier:

PDF, 522 KB

english, 2008

25

Weather Swap Pricing and the Optimal Size for Medium-Range Forecast Ensembles

Jewson, Stephen, Ziehmann, Christine

Journal:

Weather and Forecasting

Année:

2003

Langue:

english

Fichier:

PDF, 121 KB

english, 2003

26

Quantifying the sources of simulation uncertainty in natural catastrophe models

Kaczmarska, Jo, Jewson, Stephen, Bellone, Enrica

Journal:

Stochastic Environmental Research and Risk Assessment

Année:

2017

Langue:

english

Fichier:

PDF, 1.27 MB

english, 2017

27

Closed-Form Expressions for the Pricing of Weather Derivatives: Part 3 - The Payoff Variance

Jewson, Stephen

Journal:

SSRN Electronic Journal

Année:

2003

Fichier:

PDF, 148 KB

2003

28

Weather Derivative Pricing and the Detrending of Meteorological Data: Closed-Form Solutions for the Behaviour of a Simple Decision Rule

Jewson, Stephen, Penzer, Jeremy

Journal:

SSRN Electronic Journal

Année:

2004

Langue:

english

Fichier:

PDF, 140 KB

english, 2004

29

Weather Derivative Pricing and a Preliminary Investigation into a Decision Rule for Detrending

Jewson, Stephen, Penzer, Jeremy

Journal:

SSRN Electronic Journal

Année:

2004

Langue:

english

Fichier:

PDF, 129 KB

english, 2004

30

Weather Derivative Pricing and the Impact of El Nino on US Temperature: The Statistics of Optimal Categorical Predictions

Jewson, Stephen, Penzer, Jeremy

Journal:

SSRN Electronic Journal

Année:

2005

Langue:

english

Fichier:

PDF, 130 KB

english, 2005

31

Optimal Year Ahead Forecasting of Temperature in the Presence of a Linear Trend, and the Pricing of Weather Derivatives

Jewson, Stephen, Penzer, Jeremy

Journal:

SSRN Electronic Journal

Année:

2004

Langue:

english

Fichier:

PDF, 160 KB

english, 2004

32

The Use of Weather Forecasts in the Pricing of Weather Derivatives

Jewson, Stephen, Caballero, Rodrigo

Journal:

SSRN Electronic Journal

Année:

2003

Fichier:

PDF, 291 KB

2003

33

Seasonality in the Statistics of Surface Air Temperature and the Pricing of Weather Derivatives

Jewson, Stephen, Caballero, Rodrigo

Journal:

SSRN Electronic Journal

Année:

2003

Fichier:

PDF, 514 KB

2003

34

Risk Loading and Implied Volatility in the Pricing of Weather Options

Jewson, Stephen

Journal:

SSRN Electronic Journal

Année:

2003

Fichier:

PDF, 134 KB

2003

35

Weather Derivative Valuation (The Meteorological, Statistical, Financial and Mathematical Foundations) || The use of meteorological forecasts in pricing

Jewson, Stephen, Brix, Anders, Ziehmann, Christine

Année:

2005

Langue:

english

Fichier:

PDF, 438 KB

english, 2005

36

Weather Derivative Valuation (The Meteorological, Statistical, Financial and Mathematical Foundations) || References

Jewson, Stephen, Brix, Anders, Ziehmann, Christine

Année:

2005

Langue:

english

Fichier:

PDF, 290 KB

english, 2005

37

Weather Derivative Valuation (The Meteorological, Statistical, Financial and Mathematical Foundations) || Efficient methods for pricing against a portfolio

Jewson, Stephen, Brix, Anders, Ziehmann, Christine

Année:

2005

Langue:

english

Fichier:

PDF, 328 KB

english, 2005

38

Weather Derivative Valuation (The Meteorological, Statistical, Financial and Mathematical Foundations) || Parameter estimation

Jewson, Stephen, Brix, Anders, Ziehmann, Christine

Année:

2005

Langue:

english

Fichier:

PDF, 327 KB

english, 2005

39

Weather Derivative Valuation (The Meteorological, Statistical, Financial and Mathematical Foundations) || Modelling portfolios

Jewson, Stephen, Brix, Anders, Ziehmann, Christine

Année:

2005

Langue:

english

Fichier:

PDF, 588 KB

english, 2005

40

Weather Derivative Valuation (The Meteorological, Statistical, Financial and Mathematical Foundations) || The valuation of single contracts using index modelling

Jewson, Stephen, Brix, Anders, Ziehmann, Christine

Année:

2005

Langue:

english

Fichier:

PDF, 487 KB

english, 2005

41

Weather Derivative Valuation (The Meteorological, Statistical, Financial and Mathematical Foundations) || The beta for a normally distributed index

Jewson, Stephen, Brix, Anders, Ziehmann, Christine

Année:

2005

Langue:

english

Fichier:

PDF, 383 KB

english, 2005

42

Weather Derivative Valuation (The Meteorological, Statistical, Financial and Mathematical Foundations) || Greeks for normally distributed indices

Jewson, Stephen, Brix, Anders, Ziehmann, Christine

Année:

2005

Langue:

english

Fichier:

PDF, 360 KB

english, 2005

43

Weather Derivative Valuation (The Meteorological, Statistical, Financial and Mathematical Foundations) || Goodness of fit tests

Jewson, Stephen, Brix, Anders, Ziehmann, Christine

Année:

2005

Langue:

english

Fichier:

PDF, 327 KB

english, 2005

44

Weather Derivative Valuation (The Meteorological, Statistical, Financial and Mathematical Foundations) || The valuation of single contracts using daily modelling

Jewson, Stephen, Brix, Anders, Ziehmann, Christine

Année:

2005

Langue:

english

Fichier:

PDF, 839 KB

english, 2005

45

Weather Derivative Valuation (The Meteorological, Statistical, Financial and Mathematical Foundations) || Managing portfolios

Jewson, Stephen, Brix, Anders, Ziehmann, Christine

Année:

2005

Fichier:

PDF, 431 KB

2005

46

Weather Derivative Valuation (The Meteorological, Statistical, Financial and Mathematical Foundations) || Expected pay-offs for normally distributed indices

Jewson, Stephen, Brix, Anders, Ziehmann, Christine

Année:

2005

Fichier:

PDF, 377 KB

2005

47

Weather Derivative Valuation (The Meteorological, Statistical, Financial and Mathematical Foundations) || Trend models

Jewson, Stephen, Brix, Anders, Ziehmann, Christine

Année:

2005

Fichier:

PDF, 322 KB

2005

48

Weather Derivative Valuation (The Meteorological, Statistical, Financial and Mathematical Foundations) || An introduction to meteorological forecasts

Jewson, Stephen, Brix, Anders, Ziehmann, Christine

Année:

2005

Fichier:

PDF, 457 KB

2005

49

Weather Derivative Valuation (The Meteorological, Statistical, Financial and Mathematical Foundations) || Simulation methods

Jewson, Stephen, Brix, Anders, Ziehmann, Christine

Année:

2005

Fichier:

PDF, 367 KB

2005

50

Weather Derivative Valuation (The Meteorological, Statistical, Financial and Mathematical Foundations) || Pay-off variances for normally distributed indices

Jewson, Stephen, Brix, Anders, Ziehmann, Christine

Année:

2005

Fichier:

PDF, 360 KB

2005