Tid: 26 februari 2001 kl 1515-1600
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: David Stillberger.
Titel: On pricing weather derivatives
Sammanfattning: The main objective of this thesis is to find a pricing model for temperature based weather derivatives. The approach we use is to first find a stochastic process that describes the evolution of the temperature. The unknown parameters in the model are estimated using historical temperature data. Since temperature is not tradable, the market for weather derivatives is incomplete. Thus we have to consider the market price of risk to be able to compute unique prices of the contracts. Numerical examples of prices of some contracts are presented, using an approximation formula as well as Monte Carlo simulations.