Pricing Weather Derivatives: A Time Series Neural Network Approach

Autor:	Hening-Tallarico, Marco, Olivares, Pablo
Rok vydání:	2024
Předmět:	Quantitative Finance - Mathematical Finance Computer Science - Machine Learning Quantitative Finance - Statistical Finance Statistics - Machine Learning 27M10 68T09 G.3
Druh dokumentu:	Working Paper
Popis:	The objective of the paper is to price weather derivative contracts based on temperature and precipitation as underlying climate variables. We use a neural network approach combined with time series forecast to value Pacific Rim index in Toronto and Chicago
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2411.12013 Zobrazit plný text záznamu View this record from Arxiv