Using weather derivatives to hedge precipitation exposure

Managerial Finance

Volumn 33, Issue 4, 2007, Pages 246-252

  Leggio, Karyl B ^a  

^a UNIVERSITY OF MISSOURI KANSAS CITY   (United States)

Author keywords

Derivatives markets; Golf courses; Hedging; Rainfall; Risk management; United States of America

Indexed keywords

EID: 85015693829     PISSN: 03074358     EISSN: 17587743     Source Type: Journal    
DOI: 10.1108/03074350710721497     Document Type: Article

References (19)

1. Bartram, P. (2001), “Taking cover”, Financial Management (CIMA), November, pp. 30-2.
2. Black, F. and Scholes, M. (1973), “The pricing of options and corporate liabilities”, Journal of Political Economy, Vol. 81, pp. 637-59.
3. Bloss, B. (2001), “Don't save it for a rainy day”, Rough Notes, Vol. 144 No. 3, pp. 72-6.
4. Bossley, L. (1999), “Exposed to the weather?”, Corporate Finance, Vol. 175, pp. 42-3.
5. Bruner, R., Capestany, M. and Bodily, S. (2001a), “Enron corporation's weather derivatives (A)”, Darden Graduate School of Business Administration, case series.
6. Bruner, R., Capestany, M. and Bodily, S. (2001b), “Enron corporation's weather derivatives (B)”, Darden Graduate School of Business Administration, case series.
7. Cao, M. and Ii, J. (2001), “Equilibrium valuation of weather derivatives”, Queen's working paper.
8. Considine, G. (1999), “Introduction to weather derivatives”, Chicago Mercantile Exchange.
9. Duffie, D. and Gray, S. (1999), Managing Energy Price Risk, 2nd ed., Risk Books, London, pp. 39-55.
10. Enron Corporation (1999), “Managing weather”, internal working paper.
11. Leggio, K.B. and Lien, D. (2002), “Hedging gas bills with weather derivatives”, Journal of Economics and Finance, Vol. 26 No. 1, pp. 394-406.
12. Lucas, R.E., Jr. (1978), “Asset prices in an exchange economy”, Econometrica, Vol. 46 No. 6, pp. 1429-45.
13. Mazurkiewicz, G. (2001), “Taking the risk out of weather”, Air Conditioning, Heating and Refrigeration News, Vol. 213 No. 11, pp. 1-26.
14. McIntyre, R. (1999), “Black-Scholes will do”, Energy and Power Risk Management, Vol. 4 No. 7, pp. S26-7.
15. Quinn, L.R. (1999), “Weather derivatives begins to attract the mother of all users: agriculture- some speculate that commodity contracts could ultimately be affected”, The Investment Dealers’ Digest, December, p. 13.
16. Pirrong, C. (1999), “The price of power”, Washington University, Olin working paper.
17. Schippers, A. (2001), “New risk transfer opportunities – innovative ways to protect the bottom line”, Corporate Finance, Vol. 194, January, pp. 44-6.
18. Swift, B. (2001), “Construction, ingenuity and derivatives: a profile”, Risk Management, Vol. 48 No. 11, pp. 22-8.
19. Zolkos, R. (2001), “Weather cover sees potential buyers come in from the cold”, Business Insurance, Vol. 35 No. 5, pp. 3-10.