Modeling and forecasting cumulative average temperature and heating degree day indices for weather derivative pricing

Density Forecasting for Weather Derivative Pricing: A Comparison of GARCH and Atmospheric Models

Weather derivatives enable energy companies to protect themselves against weather risk. Weather ensemble predictions are generated from atmospheric models and consist of multiple future scenarios for a weather variable. They can be used to forecast the density of the payoff from a weather derivative. The mean of the density is the fair price of the derivative, and the distribution about the mea...

Memory time varying models for weather derivative pricing

We present a generalisation of the double long memory ARFIMA-FIGARCH model introducing time-varying memory coefficients both in the mean and in the variance. The model satisfies the empirical evidence of changing memory observed in average temperature series and can provide useful improvements in the forecasting, simulation and pricing issues related to weather derivatives. We provide an applic...

Forecasting Average Daily Temperature in the Khorasan Razavi Province

In this research, applied synoptic model for determining the average daily temperature and its relationship with the Geopotential Height in middle level (500 HPa). Therefore, two database were used: database of atmospheric circulations, includes the data of geopotential height at 500 HPa and its data were extracted from the NCEP/DOE(US National Oceanic and Atmospheric Administration) in hours 0...

Short Term Load Forecasting by Using ESN Neural Network Hamedan Province Case Study

Abstract Forecasting electrical energy demand and consumption is one of the important decision-making tools in distributing companies for making contracts scheduling and purchasing electrical energy. This paper studies load consumption modeling in Hamedan city province distribution network by applying ESN neural network. Weather forecasting data such as minimum day temperature, average day temp...

The Weather Derivatives Market: Modelling and Pricing Temperature