Weather derivatives pricing: Modeling the seasonal residual variance of an Ornstein-Uhlenbeck temperature process with neural networks

Neurocomputing

Volumn 73, Issue 1-3, 2009, Pages 37-48

  Zapranis, Achilleas ^a   Alexandridis, Antonis ^a  

^a UNIVERSITY OF MACEDONIA   (Greece)

Author keywords

Neural networks; Wavelet analysis; Weather derivatives

Indexed keywords

CHICAGO; MONTE CARLO SIMULATION; ORNSTEIN-UHLENBECK; RESIDUAL VARIANCE; SEASONALITY; STATISTICAL PROPERTIES; TEMPERATURE ANOMALY; WEATHER DERIVATIVES;

FINANCIAL DATA PROCESSING; MONTE CARLO METHODS; SIMULATORS; WAVELET ANALYSIS; WAVELET TRANSFORMS;

NEURAL NETWORKS;

ANALYTIC METHOD; ANALYTICAL ERROR; ANALYTICAL PARAMETERS; ARTICLE; ARTIFICIAL NEURAL NETWORK; CALIBRATION; DYNAMICS; ENVIRONMENTAL TEMPERATURE; EUROPE; MATHEMATICAL COMPUTING; MATHEMATICAL MODEL; MONTE CARLO METHOD; PRIORITY JOURNAL; SEASONAL VARIATION; SIGNAL PROCESSING; STATISTICAL ANALYSIS; STATISTICAL MODEL; VALIDITY; WEATHER;

EID: 70350710029     PISSN: 09252312     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.neucom.2009.01.018     Document Type: Article

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