Modelling and Pricing the Weather Derivative

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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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Bibliographic Details
Main Author:	Kung, Ling Wai
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2008
Subjects:	Weather Derivative Neural Network Ornstein-Unlenbeck Temperature Process
Online Access:	https://eprints.nottingham.ac.uk/22112/

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