Hedging of spatial temperature risk with market-traded futures


Barth, Andrea ; Benth, Fred Espen ; Potthoff, Jürgen


DOI: https://doi.org/10.1080/13504861003722385
URL: https://www.researchgate.net/publication/227603900...
Additional URL: http://www.tandfonline.com/doi/abs/10.1080/1350486...
Document Type: Article
Year of publication: 2011
The title of a journal, publication series: Applied Mathematical Finance
Volume: 18
Issue number: 2
Page range: 93-117
Place of publication: London
Publishing house: Routledge, Taylor & Francis Group
ISSN: 1350-486X , 1466-4313
Publication language: English
Institution: School of Business Informatics and Mathematics > Mathematik V (Potthoff)
Subject: 510 Mathematics
Keywords (English): Temperature futures , hedging , spatio-temporal random fields , heating and cooling degree-days , stochastic simulation
Abstract: The main objective of this work is to construct optimal temperature futures from available market-traded contracts to hedge spatial risk. Temperature dynamics are modelled by a stochastic differential equation with spatial dependence. Optimal positions in market-traded futures minimizing the variance are calculated. Examples with numerical simulations based on a fast algorithm for the generation of random fields are presented.

Dieser Eintrag ist Teil der Universitätsbibliographie.




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Barth, Andrea ; Benth, Fred Espen ; Potthoff, Jürgen (2011) Hedging of spatial temperature risk with market-traded futures. Applied Mathematical Finance London 18 2 93-117 [Article]


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