Valuation of housing index derivatives

Valuation of Housing Index Derivatives

Faster Valuation of Financial Derivatives

Equilibrium Valuation of Weather Derivatives¤

This paper proposes and implements an equilibrium valuation framework for weather derivatives. We generalize the Lucas model of 1978 to include the weather as a fundamental variable in the economy. The model is specialized to temperature derivatives. Temperature behavior for the period of 1979-1989 is closely studied for ̄ve major cities in the U.S., and a model is proposed for the daily temper...

Valuation and Hedging of Credit Derivatives

Actuarially Consistent Valuation of Catastrophe Derivatives

In this article, we investigate the valuation of insurance derivatives which facilitate the trading of insurance risks on capital markets, such as catastrophe derivatives that were traded at the Chicago Board of Trade. These instruments have to be priced relative to observed insurance premiums that are written on the same underlying risks to exclude any arbitrage opportunities. We derive a repr...