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Using Meteorological Forecasts for Improving Weather Derivative Pricing

  • Antonis K. Alexandridis
  • Achilleas D. Zapranis
Chapter

Abstract

Accurate weather forecasts can significantly improve both weather derivative pricing and weather risk management. Forecasters employ different techniques in developing weather forecasts. Common approaches include the numerical weather prediction methods, ensemble forecasts, and probabilistic forecasts. In this chapter, the most common approaches in producing meteorological forecasts are presented. Moreover, approaches for utilizing these forecasts in order to improve weather derivative pricing and weather risk management are presented.

Keywords

Weather Forecast Numerical Weather Prediction Nonlinear Partial Differential Equation Seasonal Forecast Future Contract 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media New York 2013

Authors and Affiliations

  • Antonis K. Alexandridis
    • 1
  • Achilleas D. Zapranis
    • 2
  1. 1.School of Mathematics, Statistics and Actuarial ScienceUniversity of KentCanterburyUK
  2. 2.Department of Accounting and FinanceUniversity of MacedoniaThessalonikiGreece

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