Challenging the Oldest Risk on Earth

The main objective of this research is to price temperature-related weather derivatves independent of location and payoff structure. We use historical weather data to make distributional forecasts for 10 different weather locations in Germany. Error terms of our forecasts are bootstraped from the empricial distribution to incorporate the non- normality of weather surprises. Explicit pricing dynamics of our model are analysed, along with a discussion on indifference pricing.

Autorentext

Paul Gebhardt is a PhD candidate in Finance at WHU Otto Beisheim School of Management. He holds a Master s degree in Financial Economics from Maastricht University with a major in quantitative finance and econometrics.