Hedging of Spatial Temperature Risk with Market-Traded Futures
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Author / Producer
Date
2010-08
Publication Type
Journal Article
ETH Bibliography
yes
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Abstract
The main objective of this work is to construct optimal temperature futures from available market-traded contracts to hedge spatial risk. Temperature dynamics are modelled by a stochastic differential equation with spatial dependence. Optimal positions in market-traded futures minimizing the variance are calculated. Examples with numerical simulations based on a fast algorithm for the generation of random fields are presented.
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Publication status
published
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Book title
Journal / series
Volume
18 (2)
Pages / Article No.
93 - 117
Publisher
Routledge
Event
Edition / version
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Software
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Date collected
Date created
Subject
Temperature futures; Hedging; Spatio-temporal random fields; Heating and cooling degree-days; Stochastic simulation
Organisational unit
03435 - Schwab, Christoph / Schwab, Christoph