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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 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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