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Volumn , Issue , 2008, Pages 350-355

Simultaneous optimization for wind derivatives based on prediction errors

Author keywords

[No Author keywords available]

Indexed keywords

DERIVATIVES; ELECTRIC UTILITIES; ERROR ANALYSIS; ERRORS; FOOD PROCESSING; FORECASTING; HURRICANE EFFECTS; OPTIMIZATION; RENEWABLE ENERGY RESOURCES; SPEED;

EID: 52449122544     PISSN: 07431619     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/ACC.2008.4586515     Document Type: Conference Paper
Times cited : (5)

References (13)
  • 1
    • 85008814939 scopus 로고    scopus 로고
    • Dynamical pricing of weather derivatives
    • D.C. Brody, J. Syroka, and M. Zervos, "Dynamical pricing of weather derivatives," Quantitative Finance, vol. 2, pp. 189-198, 2002.
    • (2002) Quantitative Finance , vol.2 , pp. 189-198
    • Brody, D.C.1    Syroka, J.2    Zervos, M.3
  • 2
    • 4744372621 scopus 로고    scopus 로고
    • Weather Derivatives Valuation and Market Price of Weather Risk
    • M. Cao and J. Wei, "Weather Derivatives Valuation and Market Price of Weather Risk," Journal of Futures Market, vol. 24, issue 11, pp. 1065-1089, 2004.
    • (2004) Journal of Futures Market , vol.24 , Issue.11 , pp. 1065-1089
    • Cao, M.1    Wei, J.2
  • 3
    • 85016184188 scopus 로고    scopus 로고
    • Pricing weather derivatives by marginal value
    • M. Davis, "Pricing weather derivatives by marginal value," Quantitative Finance, vol. 1, pp. 305-308, 2001.
    • (2001) Quantitative Finance , vol.1 , pp. 305-308
    • Davis, M.1
  • 7
    • 34047193286 scopus 로고    scopus 로고
    • Working Paper, Institute of Economic Research, Kyoto University, Japan
    • T. Kariya (2003), "Weather Risk Swap Valuation," Working Paper, Institute of Economic Research, Kyoto University, Japan, 2003.
    • (2003) Weather Risk Swap Valuation
    • Kariya, T.1
  • 8
    • 23944433142 scopus 로고    scopus 로고
    • Fair Pricing of Weather Derivatives
    • E. Platen and J. West, "Fair Pricing of Weather Derivatives," Asia-Pacific Financial Markets, 11(1), pp. 23-53, 2004.
    • (2004) Asia-Pacific Financial Markets , vol.11 , Issue.1 , pp. 23-53
    • Platen, E.1    West, J.2
  • 9
    • 33748581614 scopus 로고    scopus 로고
    • The transactions of the Institute of Electrical Engineers of Japan B, in Japanese
    • T. Takano, "Natural Energy Power and Energy Storing Technology," The transactions of the Institute of Electrical Engineers of Japan (B), vol. 126, no. 9, pp . 857-860, 2006 (in Japanese).
    • (2006) Natural Energy Power and Energy Storing Technology , vol.126 , Issue.9 , pp. 857-860
    • Takano, T.1
  • 11
    • 47749132366 scopus 로고    scopus 로고
    • Optimal design of wind derivatives based on prediction errors
    • in Japanese
    • Y. Yamada, "Optimal design of wind derivatives based on prediction errors," JAFEE Journal, vol. 7, pp. 152-181, 2008 (in Japanese).
    • (2008) JAFEE Journal , vol.7 , pp. 152-181
    • Yamada, Y.1
  • 12
    • 47749108375 scopus 로고    scopus 로고
    • Valuation and Hedging of Weather Derivatives on Monthly Average Temperature
    • Y. Yamada, "Valuation and Hedging of Weather Derivatives on Monthly Average Temperature," Journal of Risk, vol. 10, no. 1, pp. 101-125, 2007.
    • (2007) Journal of Risk , vol.10 , Issue.1 , pp. 101-125
    • Yamada, Y.1
  • 13
    • 47749120001 scopus 로고    scopus 로고
    • Pricing of Weather Derivatives Based on Trend Prediction and Their Hedge Effect on Business Risks
    • in Japanese
    • Y. Yamada, M. Iida, and H. Tsubaki, "Pricing of Weather Derivatives Based on Trend Prediction and Their Hedge Effect on Business Risks," Proceeding of the Institute of Statistical Mathematics, vol. 54, no. 1, pp. 57-78, 2006 (in Japanese).
    • (2006) Proceeding of the Institute of Statistical Mathematics , vol.54 , Issue.1 , pp. 57-78
    • Yamada, Y.1    Iida, M.2    Tsubaki, H.3


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.