scholarly journals Weather Derivatives and Stochastic Modelling of Temperature

2011 ◽  
Vol 2011 ◽  
pp. 1-21 ◽  
Author(s):  
Fred Espen Benth ◽  
Jūratė Šaltytė Benth

We propose a continuous-time autoregressive model for the temperature dynamics with volatility being the product of a seasonal function and a stochastic process. We use the Barndorff-Nielsen and Shephard model for the stochastic volatility. The proposed temperature dynamics is flexible enough to model temperature data accurately, and at the same time being analytically tractable. Futures prices for commonly traded contracts at the Chicago Mercantile Exchange on indices like cooling- and heating-degree days and cumulative average temperatures are computed, as well as option prices on them.

1998 ◽  
Vol 37 (1) ◽  
pp. 179-185
Author(s):  
Morten Grum

On evaluating the present or future state of integrated urban water systems, sewer drainage models, with rainfall as primary input, are often used to calculate the expected return periods of given detrimental acute pollution events and the uncertainty thereof. The model studied in the present paper incorporates notions of physical theory in a stochastic model of water level and particulate chemical oxygen demand (COD) at the overflow point of a Dutch combined sewer system. A stochastic model based on physical mechanisms has been formulated in continuous time. The extended Kalman filter has been used in conjunction with a maximum likelihood criteria and a non-linear state space formulation to decompose the error term into system noise terms and measurement errors. The bias generally obtained in deterministic modelling, by invariably and often inappropriately assuming all error to result from measurement inaccuracies, is thus avoided. Continuous time stochastic modelling incorporating physical, chemical and biological theory presents a possible modelling alternative. These preliminary results suggest that further work is needed in order to fully appreciate the method's potential and limitations in the field of urban runoff pollution modelling.


Energy ◽  
1998 ◽  
Vol 23 (12) ◽  
pp. 1089-1094 ◽  
Author(s):  
Zekai Şen ◽  
Mikdat Kadiogl̂u

2006 ◽  
Vol 22 (1) ◽  
pp. 41-71 ◽  
Author(s):  
Casper H. Fouche ◽  
J. Mukuddem-Petersen ◽  
M. A. Petersen

2001 ◽  
Vol 91 (1) ◽  
pp. 77-83 ◽  
Author(s):  
H. Scherm ◽  
A. T. Savelle ◽  
P. L. Pusey

The relationship of cumulative chill-hours (hours with a mean temperature <7.2°C) and heating degree-days (base 7.2°C) to carpogenic germination of pseudosclerotia of Monilinia vaccinii-corymbosi, which causes mummy berry disease of blueberry, was investigated. In two laboratory experiments, pseudosclerotia collected from rabbiteye blueberry in Georgia were conditioned at 5 to 6°C for 26 to 1,378 h prior to placement in conditions favorable for germination and apothecium development. The number of chill-hours accumulated during the conditioning period affected the subsequent proportion of pseudosclerotia that germinated and produced apothecia, with the greatest incidence of carpogenic germination occurring after intermediate levels of chilling (≈700 chill-hours). The minimum chilling requirement for germination and apothecium production was considerably lower than that reported previously for pseudo-sclerotia from highbush blueberry in northern production regions. The rate of carpogenic germination was strongly affected by interactions between the accumulation of chill-hours and degree-days during the conditioning and germination periods; pseudosclerotia exposed to prolonged chilling periods, once transferred to suitable conditions, germinated and produced apothecia more rapidly (after fewer degree-days had accumulated) than those exposed to shorter chilling periods. Thus, pseudosclerotia of M. vaccinii-corymbosi are adapted to germinate carpogenically following cold winters (high chill-hours, low degree-days) as well as warm winters (low chill-hours, high degree-days). Results were validated in a combined field-laboratory experiment in which pseudosclerotia that had received various levels of natural chilling were allowed to germinate in controlled conditions in the laboratory, and in two field experiments in which pseudosclerotia were exposed to natural chilling and germination conditions. A simple model describing the timing of apothecium emergence in relation to cumulative chill-hours and degree-days was developed based on the experiments. The model should be useful for better timing of field scouting programs for apothecia to aid in management of primary infection by M. vaccinii-corymbosi.


2021 ◽  
Vol 63 ◽  
pp. 123-142
Author(s):  
Yuecai Han ◽  
Zheng Li ◽  
Chunyang Liu

We investigate the European call option pricing problem under the fractional stochastic volatility model. The stochastic volatility model is driven by both fractional Brownian motion and standard Brownian motion. We obtain an analytical solution of the European option price via the Itô’s formula for fractional Brownian motion, Malliavin calculus, derivative replication and the fundamental solution method. Some numerical simulations are given to illustrate the impact of parameters on option prices, and the results of comparison with other models are presented. doi:10.1017/S1446181121000225


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