- Journal Article
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. Show more
Journal / seriesApplied Mathematical Finance
Pages / Article No.
SubjectTemperature futures; Hedging; Spatio-temporal random fields; Heating and cooling degree-days; Stochastic simulation
Organisational unit03435 - Schwab, Christoph / Schwab, Christoph
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