相关论文: Pricing Weather Derivatives for Extreme Events
Motivated by the EVA 2025 Data Challenge, we address the problem of predicting extreme rainfall in the eastern United States using data from a large ensemble of climate model runs. The challenge focuses on three quantities of interest…
In the present work we tackle the problem of finding the optimal price tariff to be set by a risk-averse electric retailer participating in the pool and whose customers are price-sensitive. We assume that the retailer has access to a…
We consider derivatives written on multiple underlyings in a one-period financial market, and we are interested in the computation of model-free upper and lower bounds for their arbitrage-free prices. We work in a completely realistic…
There are several approaches to modeling and forecasting time series as applied to prices of commodities and financial assets. One of the approaches is to model the price as a non-stationary time series process with heteroscedastic…
Extreme events gain the attention of researchers due to their utmost importance in various contexts ranging from finance to climatology. This brings such recurrent events to the limelight of attention in interdisciplinary research. A…
This paper studies a valuation framework for financial contracts subject to reference and counterparty default risks with collateralization requirement. We propose a fixed point approach to analyze the mark-to-market contract value with…
Most energy and commodity markets exhibit mean-reversion and occasional distinctive price spikes, which results in demand for derivative products which protect the holder against high prices. To this end, in this paper we present exact and…
The heavy-tailed behavior of the generalized extreme-value distribution makes it a popular choice for modeling extreme events such as floods, droughts, heatwaves, wildfires, etc. However, estimating the distribution's parameters using…
Extreme weather events stemming from climate change can cause significant damage and disruption to power systems. Failure to mitigate and adapt to climate change and its cascading effects can lead to short and long term issues. The profound…
Weather is a key production factor in agricultural crop production and at the same time the most significant and least controllable source of peril in agriculture. These effects of weather on agricultural crop production have triggered a…
This work employs variational techniques to revisit and expand the construction and analysis of extreme value processes. These techniques permit a novel study of spatial statistics of the location of minimizing events. We develop integral…
There is substantial empirical and climatological evidence that precipitation extremes have become more extreme during the twentieth century, and that this trend is likely to continue as global warming becomes more intense. However,…
This article provides a critical review of the main methods used to produce conservative estimators of probabilities of rare events, or critical failures, for reliability and certification studies in the broadest sense. These probabilities…
Extreme event attribution characterizes how anthropogenic climate change may have influenced the probability and magnitude of selected individual extreme weather and climate events. Attribution statements often involve quantification of the…
In this paper, we discuss the application of extreme value theory in the context of stationary $\beta$-mixing sequences that belong to the Fr\'echet domain of attraction. In particular, we propose a methodology to construct bias-corrected…
Analysis of the rare and extreme values through statistical modeling is an important issue in economical crises, climate forecasting, and risk management of financial portfolios. Extreme value theory provides the probability models needed…
We apply the concepts of utility based pricing and hedging of derivatives in stochastic volatility markets and introduce a new class of "reciprocal affine" models for which the indifference price and optimal hedge portfolio for pure…
Extreme events, such as rogue waves, earthquakes and stock market crashes, occur spontaneously in many dynamical systems. Because of their usually adverse consequences, quantification, prediction and mitigation of extreme events are highly…
During the last decade Levy processes with jumps have received increasing popularity for modelling market behaviour for both derviative pricing and risk management purposes. Chan et al. (2009) introduced the use of empirical likelihood…
We consider the setting in which an electric power utility seeks to curtail its peak electricity demand by offering a fixed group of customers a uniform price for reductions in consumption relative to their predetermined baselines. The…