Skip to main content
Disciplines
Automotive Business IT + Informatics Construction + Real Estate Electrical Engineering + Electronics Energy + Sustainability Insurance + Risk Finance + Banking Management + Leadership Marketing + Sales Mechanical Engineering + Materials
Events
DE
EN
Books
Journals
Topic Page
Marketing
Start single access now
Access for companies
EXTENDED SEARCH
Log in
Top
Published in:
The Weather Derivatives Market Read chapter Read first chapter

2013 | OriginalPaper | Chapter

3. Handling the Data

Authors : Antonis K. Alexandridis, Achilleas D. Zapranis

Published in: Weather Derivatives

Publisher: Springer New York

Log in

Activate our intelligent search to find suitable subject content or patents.

search-config
loading …

Abstract

Easy access to high-quality weather data for long periods and for various stations not only would help the market evolve and would offer liquidity but it is also vital for effective pricing of weather products and for weather risk management. However, the available datasets have many flaws, like missing data, gaps, and errors. In this chapter, techniques for data cleaning and preprocessing are presented and analytically discussed.

Dont have a licence yet? Then find out more about our products and how to get one now:

Springer Professional "Wirtschaft+Technik"

Online-Abonnement

Mit Springer Professional "Wirtschaft+Technik" erhalten Sie Zugriff auf:

  • über 102.000 Bücher
  • über 537 Zeitschriften

aus folgenden Fachgebieten:

  • Automobil + Motoren
  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Elektrotechnik + Elektronik
  • Energie + Nachhaltigkeit
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Maschinenbau + Werkstoffe
  • Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

inform now

Springer Professional "Technik"

Online-Abonnement

Mit Springer Professional "Technik" erhalten Sie Zugriff auf:

  • über 67.000 Bücher
  • über 390 Zeitschriften

aus folgenden Fachgebieten:

  • Automobil + Motoren
  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Elektrotechnik + Elektronik
  • Energie + Nachhaltigkeit
  • Maschinenbau + Werkstoffe




 

Jetzt Wissensvorsprung sichern!

inform now

Springer Professional "Wirtschaft"

Online-Abonnement

Mit Springer Professional "Wirtschaft" erhalten Sie Zugriff auf:

  • über 67.000 Bücher
  • über 340 Zeitschriften

aus folgenden Fachgebieten:

  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Versicherung + Risiko




Jetzt Wissensvorsprung sichern!

inform now
previous chapter Introduction to Stochastic Calculus
next chapter Pricing Approaches of Temperature Derivatives
Footnotes
6
National Climatic Data Center (June 2009). “El Niño / Southern Oscillation (ENSO) June 2009.” National Oceanic and Atmospheric Administration
 
Literature
Banks E (ed) (2002) Weather risk management: markets, products and applications, Finance and capital markets. Palgrave Macmillan, Basingstoke
Boissonnade AC, Heitkemper LJ, Whitehead D (2002) Weather data: cleaning and enhancement. In: Dischel RS (ed) Climate risk and the weather market: financial risk management with weather hedges. Risk Books, London
Cleveland WS (1979) Robust locally weighted regression and smoothing scatterplots. J Am Stat Assoc 74(368):829–836CrossRef
Cleveland WS, Devlin SJ (1988) Locally-weighted regression: an approach to regression analysis by local fitting. J Am Stat Assoc 83(403):596–610CrossRef
DeGaetano AT, Allen RJ (1999) Single-station test to adjust in homogeneities in daily extreme temperature series. In: Eleventh conference on applied climatology, Dallas, Texas, 1999. American Meteorological Society, Boston, pp 193–195
Dunis CL, Karalis V (2003) Weather derivative pricing and filling analysis for missing temperature data. Derivative Use Trading Regul 9(1):61–83
Jewson S (2004) A preliminary assessment of the utility of seasonal forecasts for the pricing of U.S. temperature based weather derivatives. SSRN eLibrary
Jewson S, Brix A, Ziehmann C (2005) Weather derivative valuation: the meteorological, statistical, financial and mathematical foundations. Cambridge University Press, Cambridge, UKCrossRef
Lau KM, Weng HY (1995) Climate signal detecting using wavelet signal transform. Bull Am Meteorol Soc 76:2391–2401CrossRef
Rhoades DA, Salinger MJ (1993) Adjustment of temperature and rainfall records for site changes. Int J Clim 13:899–913CrossRef
Zapranis A, Alexandridis A (2006) Wavelet analysis and weather derivatives pricing. Paper presented at the 5th Hellenic Finance and Accounting Association (HFAA), Thessaloniki, 15–16 Dec
Zapranis A, Alexandridis A (2008) Modelling temperature time dependent speed of mean reversion in the context of weather derivative pricing. Appl Math Finance 15(4):355–386CrossRef
Zapranis A, Alexandridis A (2009) Weather derivatives pricing: modelling the seasonal residuals variance of an Ornstein-Uhlenbeck temperature process with neural networks. Neurocomputing 73:37–48CrossRef
Zapranis A, Alexandridis A (2011) Modeling and forecasting cumulative average temperature and heating degree day indices for weather derivative pricing. Neural Comput Appl 20(6):787–801. doi:10.​1007/​s00521-010-0494-1 CrossRef
Metadata
Title
Handling the Data
Authors
Antonis K. Alexandridis
Achilleas D. Zapranis
Copyright Year
2013
Publisher
Springer New York
Book
Weather Derivatives

Print ISBN: 978-1-4614-6070-1

Electronic ISBN: 978-1-4614-6071-8

Copyright Year: 2013

DOI
https://doi.org/10.1007/978-1-4614-6071-8_3