The purpose of this article is to analyse the weather derivatives market and to ascertain if and to what extent a weather market has developed in Italy. The first part of the article provides a general introduction to the weather derivatives market and to weather contracts. This is followed by a description of the most common models used to price weather derivatives. The third and the fourth sections contain the simulation of the pricing of a weather call
Weather derivatives market: the Italian case
COTUGNO, MATTEO
2012
Abstract
The purpose of this article is to analyse the weather derivatives market and to ascertain if and to what extent a weather market has developed in Italy. The first part of the article provides a general introduction to the weather derivatives market and to weather contracts. This is followed by a description of the most common models used to price weather derivatives. The third and the fourth sections contain the simulation of the pricing of a weather call
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