Μοντέλα τιμολόγησης παραγώγων καιρικών φαινομένων
On modeling and pricing weather derivatives
Ραφτόπουλος, Δημήτριος Κ.
KeywordsΣτοχαστικές διαδικασίες ; Στατιστική ανάλυση ; Χρηματοοικονομικές αγορές ; Παράγωγα ; Πιθανότητες ; Διαφορικές εξισώσεις ; Καιρός ; Θερμοκρασία
In this thesis a weather derivatives pricing model, considering temperature as the underlying variable will be studied. The use of historic data enables us suggest a stochastic process and, specifically, the Ornstein-Uhlebeck stochastic process, which describes the fluctuation of temperature. In the first place, the concept of derivatives and the categories into which are divided, are analyzed and the needs of derivatives in the financial markets are indicated. Moreover, basic definitions of the probability and stochastic processes theory and martingales, as well as Brownian motion and stochastic differential equations are introduced, since all these theories are closely related to our pricing model. In conclusion, both a proper weather derivatives stochastic pricing model and its applications, which take temperature as an underlying variable will be considered.