The purpose of this study is to develop a model that describes the dynamics of the daily average temperature accurately in the context of weather derivatives pricing. More precisely, we compare two state-of-the-art machine learning algorithms, namely wavelet networks and genetic programming, with the classic linear approaches that are used widely in the pricing of temperature derivatives in the...

ROBERT J. ERHARDT: Approximate Bayesian Computing for Spatial Extremes. (Under the direction of Richard L. Smith.) Statistical analysis of max-stable processes used to model spatial extremes has been limited by the difficulty in calculating the joint likelihood function. This precludes all standard likelihood-based approaches, including Bayesian approaches. Here we present a Bayesian approach t...

This work develops a statistical model to assess the frost risk in Rafsanjan, one of the largest pistachio production regions in the world. These models can be used to estimate the probability that a frost happens in a given time-period during the year; a frost happens after 10 warm days in the growing season. These probability estimates then can be used for: (1) assessing the agroclimate risk ...

Basis = price of hedged asset-price of hedging instrument problem of basis risk: uncertainties of processes describing the evolution of prices of asset and hedging instrument not identical, only highly correlated Example 1: weather derivatives hedged asset: heating oil sales, hedging instrument: HDD derivative HDD derivative: contract paying a premium in case HDD above a critical threshold Exam...

We consider the problem of Adverse Selection and optimal derivative design within a Principal-Agent framework. The principal’s income is exposed to non-hedgeable risk factors arising, for instance, from weather or climate phenomena. She evaluates her risk using a coherent and law invariant risk measure and tries minimize her exposure by selling derivative securities on her income to individual ...

the present study aims at indicating the existence and uniqueness result of system in extended colombeaualgebra. the caputo fractional derivative is used for solving the system of odes. in addition, rieszfractional derivative of colombeau generalized algebra is considered. the purpose of introducing rieszfractional derivative is regularizing it in colombeau sense. we also give a solution to a n...

This article takes the form of a tutorial on the use of a particular class of mixed finite element methods, which can be thought of as the finite element extension of the C-grid staggered finite difference method. The class is often referred to as compatible finite elements, mimetic finite elements, discrete differential forms or finite element exterior calculus. We provide an elementary introd...

This paper provides a brief introduction to automatic diierentiation and relates it to the tangent linear model and adjoint approaches commonly used in meteorology. After a brief review of the forward and reverse mode of automatic diierentiation, the ADIFOR automatic diierentiation tool is introduced, and initial results of a sensitivity-enhanced version of the MM5 PSU/NCAR mesoscale weather mo...