×

Found 36 Documents (Results 1–36)

100
MathJax

Lie symmetry analysis on pricing weather derivatives by partial differential equations. (English) Zbl 07392818

Silvestrov, Sergei (ed.) et al., Algebraic structures and applications. Selected papers based on the presentations at the international conference on stochastic processes and algebraic structures – from theory towards applications, SPAS 2017, Västerås and Stockholm, Sweden, October 4–6, 2017. Cham: Springer. Springer Proc. Math. Stat. 317, 875-901 (2020).
MSC:  60H15 91G20
PDF BibTeX XML Cite
Full Text: DOI

Uncertainty and robustness in weather derivative models. (English) Zbl 1354.91148

Cools, Ronald (ed.) et al., Monte Carlo and quasi-Monte Carlo methods. MCQMC. Proceedings of the 11th international conference on ‘Monte Carlo and quasi-Monte Carlo methods in scientific computing’, Leuven, Belgium, April 6–11, 2014. Cham: Springer (ISBN 978-3-319-33505-6/hbk; 978-3-319-33507-0/ebook). Springer Proceedings in Mathematics & Statistics 163, 351-365 (2016).
MSC:  91G20 91G70 86A32
PDF BibTeX XML Cite
Full Text: DOI

Modeling and forecasting CAT and HDD indices for weather derivative pricing. (English) Zbl 1180.62195

Palmer-Brown, Dominic (ed.) et al., Engineering applications of neural networks. 11th international conference, EANN 2009, London, UK, August 27–29, 2009. Proceedings. Berlin: Springer (ISBN 978-3-642-03968-3/pbk; 978-3-642-03969-0/ebook). Communications in Computer and Information Science 43, 210-222 (2009).
PDF BibTeX XML Cite
Full Text: DOI Link

Applications to weather derivatives and energy contracts. (English) Zbl 1188.91211

Carmona, René (ed.) et al., Indifference pricing: Theory and applications. Princeton, NJ: Princeton University Press (ISBN 978-0-691-13883-1/hbk). Princeton Series in Financial Engineering, 241-264 (2009).
MSC:  91G20 91B25
PDF BibTeX XML Cite

From Markovian to partially observable models. (English) Zbl 1185.91171

Carmona, René (ed.) et al., Indifference pricing: Theory and applications. Princeton, NJ: Princeton University Press (ISBN 978-0-691-13883-1/hbk). Princeton Series in Financial Engineering, 147-180 (2009).
MSC:  91G20 60H15
PDF BibTeX XML Cite

Filter Results by …

Document Type

Reviewing State

all top 5

Year of Publication

all top 3

Classification

all top 3

Software