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題名:Valuation and Risk Management of Weather Derivatives: The Application of CME Rainfall Index Binary Contracts
書刊名:臺大管理論叢
作者:林士貴莊明哲方東杰
作者(外文):Lin, Shih-kueiChuang, Ming-cheFang, Dong-jie
出版日期:2021
卷期:31:1
頁次:頁117-153
主題關鍵詞:雨量衍生性商品馬可夫鏈截斷傅立葉級數Esscher變換市場風險價格Precipitation derivativesMarkov chainTruncated Fourier seriesEsscher transformMarket price of risk
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:2
  • 點閱點閱:10
期刊論文
1.Cao, M.、Li, A.、Wei, J.(2004)。Precipitation Modeling and Contract Valuation: A Frontier in Weather Derivatives。Journal of alternative investment,7(2),93-99。  new window
2.Carmona, R.、Dico, P.(2005)。Pricing Precipitation Based Derivatives。International Journal of Theoretical and Applied Finance,8(7),959-988。  new window
3.Gerber, H. U.、Shiu, E. S. W.(1994)。Option pricing by Esscher transforms。Transactions of the Society of Actuaries,46,99-191。  new window
4.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
5.林丙輝、張森林、葉仕國(20161200)。臺灣衍生性金融商品定價、避險與套利文獻回顧與展望。臺大管理論叢,27(1),255-304。new window  延伸查詢new window
6.Lin, S. K.、Chang, C. C.、Yu, M. T.(2011)。Valuation of Catastrophe Equity Puts with Markov-Modulated Poisson Processes。Journal of Risk and Insurance,78(2),447-473。  new window
7.Lo, C. L.、Lee, J. P.、Yu, M. T.(2013)。Valuation of insurers' contingent capital with counterparty risk and price endogeneity。Journal of Banking and Finance,37(12),5025-5035。  new window
8.Xu, W.、Odening, M.、Musshoff, O.(2008)。Indifference Pricing of Weather Derivatives。American Journal of Agricultural Economics,90(4),979-993。  new window
9.Barnett, M.、Brock, W.、Hansen, L. P.(2020)。Pricing uncertainty induced by climate change。The Review of Financial Studies,33(3),1024-1066。  new window
10.Benth, F. E.、Benth, J. Š.、Koekebakker, S.(2007)。Putting a price on temperature。Scandinavian Journal of Statistics,34(4),746-767。  new window
11.Brockett, P. L.、Wang, M.、Yang, C.、Zou, H.(2006)。Portfolio effects and valuation of weather derivatives。Financial Review,41(1),55-76。  new window
12.Bühlmann, H.(1980)。An economic premium principle。ASTIN Bulletin,11(1),52-60。  new window
13.Cabrera, B. L.、Odening, M.、Ritter, M.(2013)。Pricing rainfall futures at the CME。Journal of Banking & Finance,37(11),4286-4298。  new window
14.Choi, D.、Gao, Z.、Jiang, W.(2020)。Attention to global warming。The Review of Financial Studies,33(3),1112-1145。  new window
15.Cramer, S.、Kampouridis, M.、Freitas, A. A.、Alexandridis, A. K.(2017)。An extensive evaluation of seven machine learning methods for rainfall prediction in weather derivatives。Expert Systems with Applications,85(1),169-181。  new window
16.Dorfleitner, G.、Wimmer, M.(2010)。The pricing of temperature futures at the Chicago mercantile exchange。Journal of Banking & Finance,34(6),1360-1370。  new window
17.Esscher, F.(1932)。On the probability function in the collective theory of risk。Scandinavian Actuarial Journal,1932(3),175-195。  new window
18.Härdle, W. K.、Osipenko, M.(2017)。A dynamic programming approach for pricing weather derivatives under issuer default risk。International Journal of Financial Studies,5(4),1-18。  new window
19.Hess, M.(2016)。Modeling and pricing precipitation derivatives under weather forecasts。International Journal of Theoretical and Applied Finance,19(7),1-29。  new window
20.Hong, H.、Karolyi, G. A.、Scheinkman, J. A.(2020)。Climate Finance。The Review of Financial Studies,33(3),1011-1023。  new window
21.Kremer, E.(1982)。A characterization of the Esscher-transformation。ASTIN Bulletin,13(1),57-59。  new window
22.Leobacher, G.、Ngare, P.(2011)。On modelling and pricing rainfall derivatives with seasonality。Applied Mathematical Finance,18(1),71-91。  new window
23.林兆欣、許碩芬、陳思竹(20120600)。臺灣商業個人健康保險之核保循環:二階自我迴歸與馬可夫轉換模型。臺大管理論叢,22(2),221-252。new window  延伸查詢new window
24.Lo, C. L.、Chang, C. W.、Lee, J. P.、Yu, M. T.(2021)。Pricing catastrophe swaps with default risk and stochastic interest rates。Pacific-Basin Finance Journal,68。  new window
25.Müller, A.、Grandi, M.(2000)。Weather derivatives: A risk management tool for weather-sensitive industries。The Geneva Papers on Risk and Insurance-Issues and Practice,25(2),273-287。  new window
26.Noven, R.、Veraart, A.、Gandy, A.(2015)。A Lévy-driven rainfall model with applications to futures pricing。Advances in Statistical Analysis,99(4),403-432。  new window
27.Odening, M.、Musshoff, O.、Xu, W.(2007)。Analysis of rainfall derivatives using daily precipitation models: Opportunities and pitfalls。Agricultural Finance Review,67(1),135-156。  new window
28.Stowasser, M.(2012)。Modeling rain risk: A multi-order Markov Chain model approach。Journal of Risk Finance,13(1),45-61。  new window
29.Woolhiser, D. A.、Pegram, G. G. S.(1979)。Maximum likelihood estimation of fourier coefficients to describe seasonal variations of parameters in stochastic daily precipitation models。Journal of Applied Meteorology,18(1),34-42。  new window
30.Frittelli, M.(2000)。The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets。Mathematical Finance,10(1),39-52。  new window
31.Wu, Yang-Che、Chung, San-Lin(2010)。Catastrophe risk management with counterparty risk using alternative instruments。Insurance: Mathematics and Economics,47(2),234-245。  new window
會議論文
1.Shah, A.(2017)。Pricing of rainfall derivatives using generalized linear models of the daily rainfall process。International Agricultural Risk, Finance and Insurance Conference。  new window
研究報告
1.New Climate Economy(2018)。Unlocking the inclusive growth story of the 21st century: Accelerating climate action in urgent times。World Resources Institute。  new window
圖書
1.Cont, Rama、Tankov, P.(2004)。Financial Modelling with Jump Processes。Chapman & Hall/CRC Press。  new window
2.Alexandridis, A. K.、Zapranis, A. D.(2013)。Weather Derivatives: Modeling and Pricing Weather-Related Risk。Springer。  new window
3.Jeucken, M.(2010)。Sustainable Finance and Banking: The Financial Sector and the Future of the Planet。Earthscan。  new window
4.Wilks, D. S.(2011)。Statistical Methods in the Atmospheric Sciences。Academic Press。  new window
 
 
 
 
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