Modelling and Pricing the Weather Derivative
Abstract The aim of this paper is to design a temperature foresting model which is able to model the daily temperature with accurate prediction and determine the most appropriate method to price the weather derivatives. In the temperature forecasting model, Fourier series is used to determine the...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2008
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| Online Access: | https://eprints.nottingham.ac.uk/22112/ |