Managing Weather Risk with the Use of Derivatives

2008 ◽  
Author(s):  
Constantine Cantzos ◽  
Nicos Sykianakis ◽  
Petros Kalantonis ◽  
Maria Rodosthenous
Keyword(s):  
Weather Risk

THE WEATHER RISK MANAGEMENT INDUSTRY'S CLIMATE FORECAST AND DATA NEEDS

2002 ◽  
Vol 83 (8) ◽  
pp. 1193-1198 ◽  
Author(s):  
Richard J. Murnane ◽  
Michael Crowe ◽  
Allan Eustis ◽  
Susan Howard ◽  
Judy Koepsell ◽  
...  
Keyword(s):  
Risk Management ◽  
Climate Forecast ◽  
Weather Risk ◽  
Weather Risk Management

scholarly journals Implied Market Price of Weather Risk

2009 ◽  
Author(s):  
Wolfgang K. HHrdle ◽  
Brenda LLpez Cabrera
Keyword(s):  
Market Price ◽  
Weather Risk

Testing for increasing weather risk

2013 ◽  
Vol 27 (7) ◽  
pp. 1565-1574 ◽  
Author(s):  
W. Wang ◽  
I. Bobojonov ◽  
W. K. Härdle ◽  
M. Odening
Keyword(s):  
Weather Risk

scholarly journals Weather Risk Management in Agriculture

2016 ◽  
Vol 64 (4) ◽  
pp. 1303-1309 ◽  
Author(s):  
Martina Bobriková
Keyword(s):  
Financial Risk ◽  
Weather Conditions ◽  
Option Hedging ◽  
Put Option ◽  
Hedging Strategies ◽  
Weather Risk ◽  
High Volatility ◽  
Unfavourable Weather ◽  
Agricultural Industries ◽  
Weather Risk Management

The paper focuses on valuation of a weather derivative with payoffs depending on temperature. We use historical data from the weather station in the Slovak town Košice to obtain unique prices of option contracts in an incomplete market. Numerical examples of prices of some contracts are presented, using the Burn analysis. We provide an example of how a weather contract can be designed to hedge the financial risk of a suboptimal temperature condition. The comparative comparison of the selected option hedging strategies has shown the best results for the producers in agricultural industries who hedges against an unfavourable weather conditions. The results of analysis proved that by buying put option or call option, the farmer establishes the highest payoff in the case of temperature decrease or increase. The Long Straddle Strategy is the most expensive but is available to the farmer who hedges against a high volatility in temperature movement. We conclude with the findings that weather derivatives could be useful tools to diminish the financial losses for agricultural industries highly dependent for temperature.

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