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dc.contributor.authorHärdle, Wolfgang Karlen
dc.contributor.authorOsipenko, Mariaen
dc.date.accessioned2011-03-24-
dc.date.accessioned2012-04-05T16:13:06Z-
dc.date.available2012-04-05T16:13:06Z-
dc.date.issued2011-
dc.identifier.urihttp://hdl.handle.net/10419/56658-
dc.description.abstractDue to dependency of energy demand on temperature, weather derivatives enable the effective hedging of temperature related fluctuations. However, temperature varies in space and time and therefore the contingent weather derivatives also vary. The spatial derivative price distribution involves a risk premium. We examine functional principal components of temperature variation for this spatial risk premium. We employ a pricing model for temperature derivatives based on dynamics modelled via a vectorial Ornstein-Uhlenbeck process with seasonal variation. We use an analytical expression for the risk premia depending on variation curves of temperature in the measurement period. The dependence is exploited by a functional principal component analysis of the curves. We compute risk premia on cumulative average temperature futures for locations traded on CME and fit to it a geographically weighted regression on functional principal component scores. It allows us to predict risk premia for nontraded locations and to adopt, on this basis, a hedging strategy, which we illustrate in the example of Leipzig.en
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2011-013en
dc.subject.jelC01en
dc.subject.jelC31en
dc.subject.ddc330en
dc.subject.keywordrisk premiumen
dc.subject.keywordweather derivativesen
dc.subject.keywordOrnstein-Uhlenbeck processen
dc.subject.keywordfunctional principal componentsen
dc.subject.keywordgeographically weighted regressionen
dc.subject.stwWetteren
dc.subject.stwRisikoprämieen
dc.subject.stwRegionen
dc.subject.stwElementarschadenversicherungen
dc.subject.stwFinanzderivaten
dc.subject.stwOptionspreistheorieen
dc.subject.stwTheorieen
dc.titleSpatial risk premium on weather derivatives and hedging weather exposure in electricity-
dc.typeWorking Paperen
dc.identifier.ppn654789924en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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