Weather derivatives, weather risk pricing & structuring

A selection of articles and research papers on weather derivatives and weather risk pricing and structuring.


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OTC Weather derivatives 
Focus - Swiss Derivatives Review 2013

Innovative agricultural finance and risk management: Strengthening food production and trade in the transition region 
Food and Agriculture Organization of the United Nations 2012

Which Method for Pricing Weather Derivatives? 
Hélène Hamisultane Jul 2008

The Price of Power: The valuation of power and weather derivatives 
Craig Pirrong, University of Houston Dec 2005

Hot or Cold? A comparison of different approaches to to the pricing of weather derivatives 
Teddy Oetomo & Max Stevenson

A Calculus of Risk 
Scientific American, Gary Stix May 1998

Weather Derivatives - Pricing and Hedging 
Izzy Nelken, Super Computer Consulting Inc Jan 2000

Pricing Weather Derivatives 
DerivativesStrategy.com Mar 2000

Weather derivatives: Instruments and Pricing Issues 
Financial Engineering Associates Mar 2000

Equilibrium Valuation of Weather Derivatives 
Jason Wei, Faculty of Management - University of Toronto Oct 1999

Valuation of weather derivatives  
Weather Risk Advisory Jun 2001

Pricing weather derivatives by marginal value 
Quantitative Finance Dec 2000

On Modelling and Pricing Weather Derivatives 
Peter Alaton

Benchmark Pricing of Weather Derivatives 
Jason West Dec 2002

Pricing the Weather 
RISK May 2000

The Price of Power: The Valuation of Power and Weather Derivatives 
University of Houston - Department of Finance Jun 2000

Model Risk in the Pricing of Weather Derivatives 
Olivier Roustant, Jean-Paul Laurent, Xavier Bay and Laurent Carraro Sep 2003

Fair Pricing of Weather Derivatives 
Eckhard Platen and Jason West Jul 2004

A Preliminary Assessment of the Utility of Seasonal Forecasts for the Pricing of U.S. Temperature Based Weather Derivatives 
Risk Management Solutions 2004

Weather Derivative Pricing and the Potential Accuracy of Daily Temperature Modelling 
Risk Management Solutions 2004

Weather Derivative Pricing and the Year Ahead Forecasting of Temperature Part 2: Theory 
Risk Management Solutions 2004

Weather Derivative Pricing and the Year Ahead Forecasting of Temperature Part 1: Empirical Results 
Risk Management Solutions 2004

Weather Derivative Pricing and the Distributions of Standard Weather Indices on US Temperatures 
Risk Management Solutions Apr 2004

Weather Derivative Pricing and the Spatial Variability of US Temperature Trends 
Risk Management Solutions Apr 2004

A Spatial Approach to Addressing Weather Derivative Basis Risk: A Drought Insurance Example 
Nick D. Paulson and Chad E. Hart Jul 2006

Pricing Summer Days Options by Good - Deal Bounds 
Takashi Kanamura and Kazuhiko Ohashi Nov 2007

Modeling and Pricing Rain Risk 
Oliver Mußhoff, Martin Odening and Wei Xu Jul 2006

Spatial Aggregation and Weather Risk Management 
Journal of Agricultural and Resource Economics Apr 2008

Optimal Design of Weather Bonds 
Wei Xu, Martin Odening and Oliver Mußhoff Jul 2008

Pricing of Asian temperature risk 
Fred Benth, Wolfgang Karl Härdle & Brenda López Cabrera 2009

The pricing of temperature futures at the Chicago Mercantile Exchange 
Journal of Banking & Finance

Statistical Analysis of Asian Weather Derivatives 
Center for Applied Statistics and Economics Sep 2009

A stochastic daily mean temperature model for weather derivatives 
National Weather Center Research Experiences for Undergraduates Program














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