In this paper, a new form of weather derivative contract, namely the climatic zone-based growth degree-day (GDD) contract, is introduced. The objective is to increase the risk management efficiency in the agricultural sector of China and to reduce the model dimension of multi-regional temperature-based weather derivatives pricing. Since the proposed contract serves as a risk management tool for...

A theoretical optimal hedging model is developed to determine potential demand from Australian farmers for a hedging tool to remove the economic consequences of climate related variability in wheat yield. In the past, financial instruments have been developed to hedge price risk on capital markets; however, in more recent times new financial instruments, weather derivatives, have been developin...

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...

Differential phase and its range derivative KDP are of interest to several hydrological applications from weather radar systems. Despite the attractive qualities of polarimetric differential phase measurements, the usefulness of these radar measurements is potentially undermined as a consequence of measurement fluctuations and physical or beam geometry artifacts. This paper presents an applicat...

Many industries are exposed to weather risk. Weather derivatives can play a key role in hedging and diversifying such risk because the uncertainty in a company’s profit function can be correlated to weather condition which affects diverse industry sectors differently. Unfortunately the weather derivatives market is a classical example of an incomplete market that is not amenable to standard met...

We show how mixed finite element methods that satisfy the conditions of finite element exterior calculus can be used for the horizontal discretisation of dynamical cores for numerical weather prediction on pseudo-uniform grids. This family of mixed finite element methods can be thought of in the numerical weather prediction context as a generalisation of the popular polygonal C-grid finite diff...

Shadowing trajectories can play an important role in assessing the reliability of forecasting models, they can also play an important role in providing state estimates for ensemble forecasts. Gradient descent methods provide one approach for obtaining shadowing trajectories, which have been shown to have many useful properties. There remains the important question whether shadowing trajectories...