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Futures Pricing under Lvy driven OU model

Conclusion

Weather Derivative Pricing and Application to

Canadian Data

Kaijie Cui

University of Calgary, Department of Mathematics and Statistics

May 3, 2012

Presented by Kaijie Cui North/South Dialogue Talk

Introduction

Lvy driven Ornstein-Uhlenbeck Model

Futures Pricing under Lvy driven OU model

Conclusion

Contents

1

Introduction

2

Lvy driven Ornstein-Uhlenbeck Model

Motivation

Model

Data Analysis

3

Futures Pricing under Lvy driven OU model

CAT futures

CDD and HDD futures

4

Conclusion

Presented by Kaijie Cui North/South Dialogue Talk

Introduction

Lvy driven Ornstein-Uhlenbeck Model

Futures Pricing under Lvy driven OU model

Conclusion

Temperature Derivatives

The impact of weather on many commercial and

recreational activities is signicant and varies both

geographically and seasonally.

Many businesses, including agriculture, insurance, energy

and tourism, are either favorably or adversely affected by

weather.

Denition

Weather derivatives are contingent claims written on weather

indices, which in turn are variables whose values are

constructed from weather data.

Presented by Kaijie Cui North/South Dialogue Talk

Introduction

Lvy driven Ornstein-Uhlenbeck Model

Futures Pricing under Lvy driven OU model

Conclusion

Weather indices

Commonly referenced weather indices:

DAT: daily average temperature, T(s),

CAT: cumulative average temperature,

_

1

T(s)ds,

CDD: cooling degree days,

_

1

max(T(s) c, 0)ds,

HDD: heating degree days,

_

1

max(c T(s), 0)ds,

can be get from the National Climate Data and Information

Archive (NCDIA). Others like precipitation, snowfall, wind and

so on can also be the underlying of weather derivatives.

Presented by Kaijie Cui North/South Dialogue Talk

Introduction

Lvy driven Ornstein-Uhlenbeck Model

Futures Pricing under Lvy driven OU model

Conclusion

Statement of Problem

The weather derivatives

traded in an incomplete market setting,

correlation between weather indices and most established

nancial indices is negligible.

The weather indices

long-term seasonal variations and trends,

strong relativity of daily data,

residuals may not be normally distributed.

Presented by Kaijie Cui North/South Dialogue Talk

Introduction

Lvy driven Ornstein-Uhlenbeck Model

Futures Pricing under Lvy driven OU model

Conclusion

Motivation

Model

Data Analysis

Motivation

Our data set contains daily temperatures (measured in

centigrade) for Calgary, AB. and Toronto, ON. in Canada

provided by NCDIA over Jan. 1th 2001 to Jan. 1th 2011.

0 500 1000 1500 2000 2500 3000 3500

40

30

20

10

0

10

20

30

Day

M

e

a

n

te

m

p

e

ra

tu

re

Calgary mean temperature (1/1/20011/1/2011)

0 500 1000 1500 2000 2500 3000 3500

30

20

10

0

10

20

30

40

Day

M

e

a

n

te

m

p

e

ra

tu

re

Toronto mean temperature(1/1/20011/1/2011)

Figure: Daily mean temperature from Calgary and Toronto for 10

years.

Presented by Kaijie Cui North/South Dialogue Talk

Introduction

Lvy driven Ornstein-Uhlenbeck Model

Futures Pricing under Lvy driven OU model

Conclusion

Motivation

Model

Data Analysis

Non-normality

40 30 20 10 0 10 20 30

0

50

100

150

200

250

300

350

400

Daily average temperature in Calgary

F

r

e

q

u

e

n

c

y

30 20 10 0 10 20 30 40

0

50

100

150

200

250

300

350

400

Daily average temperature in Toronto

F

r

e

q

u

e

n

c

y

Figure: Histogram of daily average temperature in Calgary and

Toronto.

Presented by Kaijie Cui North/South Dialogue Talk

Introduction

Lvy driven Ornstein-Uhlenbeck Model

Futures Pricing under Lvy driven OU model

Conclusion

Motivation

Model

Data Analysis

Model

Suppose daily average temperature follows

dT

t

= ds

t

+(T

t

s

t

)dt +

t

dL

t

, (1)

where s

t

is the seasonal patten referred to as the seasonality of

the temperature and is the speed that temperature reverts to

mean,

t

is assumed to be a measurable and bounded function

represents the seasonal volatility, L

t

is the Lvy process with

independent and stationary increments. This model was rstly

introduced by Dornier and Queruel (2000) with Brownian

motion noise. Such model is particularly suitable to capture the

evolution of temperature dynamics.

Presented by Kaijie Cui North/South Dialogue Talk

Introduction

Lvy driven Ornstein-Uhlenbeck Model

Futures Pricing under Lvy driven OU model

Conclusion

Motivation

Model

Data Analysis

Model

T

t

= s

t

+ (T

0

s

0

)e

t

+

_

t

0

u

e

(tu)

dL

u

. (2)

By subtracting T

t

from T

t+1

, approximating the stochastic

integral,

T

t

= s

t

(1 e

)(T

t

s

t

) + e

_

t+1

t

u

e

(tu)

dL

u

,

T

t

= s

t

(1 e

)(T

t

s

t

) + e

t

L

t

.

Then add T

t

s

t

:=

T

t

to both sides

T

t+1

= e

T

t

+ e

t

. (3)

Presented by Kaijie Cui North/South Dialogue Talk

Introduction

Lvy driven Ornstein-Uhlenbeck Model

Futures Pricing under Lvy driven OU model

Conclusion

Motivation

Model

Data Analysis

Model

In summary, we will have the following expression for modeling

the daily average temperature step by step.

T

t

= s

t

+ c

t

+

t

,

where T

t

is the daily average temperature at day t , s

t

is the

seasonal component of the daily average temperature, c

t

is the

cyclical component derived from Equation 3, and

t

is the

stochastic or random noise of the daily temperature.

Presented by Kaijie Cui North/South Dialogue Talk

Introduction

Lvy driven Ornstein-Uhlenbeck Model

Futures Pricing under Lvy driven OU model

Conclusion

Motivation

Model

Data Analysis

Trends

Figure: Linear trends of Calgary and Toronto for recent 10 years.

Presented by Kaijie Cui North/South Dialogue Talk

Introduction

Lvy driven Ornstein-Uhlenbeck Model

Futures Pricing under Lvy driven OU model

Conclusion

Motivation

Model

Data Analysis

Seasonality

Choose to use simple sine function to model the seasonality.

s

t

= a

0

+ a

1

sin(

2

365

(t t

0

)),

where a

0

is the mean level of temperature, a

1

is amplitude of

the mean temperature and t

0

represents the a phase angle.

Table: Estimated parameters for seasonal function

Parameters Calgary Toronto

a

0

4.614 8.924

a

1

12.03 13.67

t

0

72.85 67.83

R

2

0.6753 0.8331

Presented by Kaijie Cui North/South Dialogue Talk

Introduction

Lvy driven Ornstein-Uhlenbeck Model

Futures Pricing under Lvy driven OU model

Conclusion

Motivation

Model

Data Analysis

Seasonality

Figure: Seasonal trends for Calgary and Toronto daily mean

temperature.

Presented by Kaijie Cui North/South Dialogue Talk

Introduction

Lvy driven Ornstein-Uhlenbeck Model

Futures Pricing under Lvy driven OU model

Conclusion

Motivation

Model

Data Analysis

Cyclicity

Recall that based on Equation 3, we can model the cyclical

component by recursive regression

c

t

= e

T

t1

= e

(T

t1

s

t1

).

Table: e

, and R

2

in regression

Parameters Calgary Toronto

e

0.7858 0.7018

0.2411 0.3541

R

2

0.6172 0.4924

Presented by Kaijie Cui North/South Dialogue Talk

Introduction

Lvy driven Ornstein-Uhlenbeck Model

Futures Pricing under Lvy driven OU model

Conclusion

Motivation

Model

Data Analysis

Cyclicity

0 100 200 300 400 500 600 700 800

0.5

0

0.5

1

Lag

S

a

m

p

le

A

u

t

o

c

o

r

r

e

la

t

io

n

Calgary residuals (ACF)

0 100 200 300 400 500 600 700 800

0.5

0

0.5

1

Lag

S

a

m

p

le

A

u

t

o

c

o

r

r

e

la

t

io

n

Toronto residuals (ACF)

0 100 200 300 400 500 600 700 800

0.5

0

0.5

1

Lag

S

a

m

p

le

A

u

t

o

c

o

r

r

e

la

t

io

n

Calgary squared residuals (ACF)

0 100 200 300 400 500 600 700 800

0.5

0

0.5

1

Lag

S

a

m

p

le

A

u

t

o

c

o

r

r

e

la

t

io

n

Toronto squared residuals (ACF)

Figure: The empirical autocorrelation function for the residuals and

squared residuals after regression.

Presented by Kaijie Cui North/South Dialogue Talk

Introduction

Lvy driven Ornstein-Uhlenbeck Model

Futures Pricing under Lvy driven OU model

Conclusion

Motivation

Model

Data Analysis

Residuals

0 500 1000 1500 2000 2500 3000 3500

6

4

2

0

2

4

6

Day

R

e

s

id

u

a

l

Calgary residuals

0 500 1000 1500 2000 2500 3000 3500

6

4

2

0

2

4

6

Day

R

e

s

id

u

a

l

Toronto residuals

Figure: Residuals after linear regression of deseasonalized mean

daily temperatures.

Presented by Kaijie Cui North/South Dialogue Talk

Introduction

Lvy driven Ornstein-Uhlenbeck Model

Futures Pricing under Lvy driven OU model

Conclusion

Motivation

Model

Data Analysis

Residuals

t

= e

t

.

t

:=

t

e

=

t

t

.

To t

t

,

organize the residuals into 365 groups, one for each day of

years;

nd the means of the squared residuals in each group,

2

t

= E[

2

t

];

take logarithm and use three days moving average to

smooth estimates.

Presented by Kaijie Cui North/South Dialogue Talk

Introduction

Lvy driven Ornstein-Uhlenbeck Model

Futures Pricing under Lvy driven OU model

Conclusion

Motivation

Model

Data Analysis

Residuals

0 50 100 150 200 250 300 350

0

5

10

Calgary residual variance

0 50 100 150 200 250 300 350

0

1

2

3

Calgary moving average

0 50 100 150 200 250 300 350

0

2

4

6

Toronto residual variance

0 50 100 150 200 250 300 350

0

1

2

3

Toronto moving average

Figure: The empirical and smoothed seasonal variation.

Presented by Kaijie Cui North/South Dialogue Talk

Introduction

Lvy driven Ornstein-Uhlenbeck Model

Futures Pricing under Lvy driven OU model

Conclusion

Motivation

Model

Data Analysis

Residuals

t

=

t

t

.

0 100 200 300 400 500 600 700 800

0.5

0

0.5

1

Lag

S

a

m

p

le

A

u

t

o

c

o

r

r

e

la

t

io

n

Calgary residuals (ACF)

0 100 200 300 400 500 600 700 800

0.5

0

0.5

1

Lag

S

a

m

p

le

A

u

t

o

c

o

r

r

e

la

t

io

n

Toronto residuals (ACF)

0 100 200 300 400 500 600 700 800

0.5

0

0.5

1

Lag

S

a

m

p

le

A

u

t

o

c

o

r

r

e

la

t

io

n

Calgary squared residuals (ACF)

0 100 200 300 400 500 600 700 800

0.5

0

0.5

1

Lag

S

a

m

p

le

A

u

t

o

c

o

r

r

e

la

t

io

n

Toronto squared residuals (ACF)

Figure: The empirical autocorrelation function for the residuals and

squared residuals after removing seasonal variation.

Presented by Kaijie Cui North/South Dialogue Talk

Introduction

Lvy driven Ornstein-Uhlenbeck Model

Futures Pricing under Lvy driven OU model

Conclusion

Motivation

Model

Data Analysis

Residuals

t

= c

1

+

N

i =1

(c

2i

sin(iwt ) + c

2i +1

cos(iwt )).

Table: Truncated Fourier series parameters

c

1

c

2

c

3

w

Calgary 4.424 1.633 0.1912 0.0167

Toronto 4.33 1.082 0.2108 0.01526

Presented by Kaijie Cui North/South Dialogue Talk

Introduction

Lvy driven Ornstein-Uhlenbeck Model

Futures Pricing under Lvy driven OU model

Conclusion

Motivation

Model

Data Analysis

Residuals

0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1

0

0.2

0.4

0.6

0.8

1

0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1

0

0.2

0.4

0.6

0.8

1

0 50 100 150 200 250 300 350

1

2

3

4

5

6

7

8

9

Estimation variation for Calgary

Truncated Fourier series fit

0 50 100 150 200 250 300 350

2

3

4

5

6

7

8

Estimation variation for Toronto

Truncated Fourier series fit

Figure: Fit of seasonal variation by truncated Fourier series

variations.

Presented by Kaijie Cui North/South Dialogue Talk

Introduction

Lvy driven Ornstein-Uhlenbeck Model

Futures Pricing under Lvy driven OU model

Conclusion

Motivation

Model

Data Analysis

Residuals

0 100 200 300 400 500 600 700 800

0.5

0

0.5

1

Lag

S

a

m

p

le

A

u

t

o

c

o

r

r

e

la

t

io

n

Calgary residuals (ACF)

0 100 200 300 400 500 600 700 800

0.5

0

0.5

1

Lag

S

a

m

p

le

A

u

t

o

c

o

r

r

e

la

t

io

n

Toronto residuals (ACF)

0 100 200 300 400 500 600 700 800

0.5

0

0.5

1

Lag

S

a

m

p

le

A

u

t

o

c

o

r

r

e

la

t

io

n

Calgary squared residuals (ACF)

0 100 200 300 400 500 600 700 800

0.5

0

0.5

1

Lag

S

a

m

p

le

A

u

t

o

c

o

r

r

e

la

t

io

n

Toronto squared residuals (ACF)

Figure: ACF and squared residuals ACF plots of residuals after

removing truncated Fourier series variations.

Presented by Kaijie Cui North/South Dialogue Talk

Introduction

Lvy driven Ornstein-Uhlenbeck Model

Futures Pricing under Lvy driven OU model

Conclusion

Motivation

Model

Data Analysis

Fitting noise

3 2 1 0 1 2 3

0

0.05

0.1

0.15

0.2

0.25

0.3

0.35

0.4

Data

D

e

n

s

ity

Calgary residuals

Normal fit

3 2 1 0 1 2 3

0

0.05

0.1

0.15

0.2

0.25

0.3

0.35

0.4

Data

D

e

n

s

ity

Toronto residuals

Normal fit

Figure: Normal t plot of residuals of Calgary and Toronto data.

Table:

2

-statistics and P-values for residuals of Calgary and Toronto

Calgary Toronto

2

105.43 53.69

P-value 8.11 10

20

2.71 10

9

Presented by Kaijie Cui North/South Dialogue Talk

Introduction

Lvy driven Ornstein-Uhlenbeck Model

Futures Pricing under Lvy driven OU model

Conclusion

Motivation

Model

Data Analysis

Fitting noise

Propose to use the family of generalized hyperbolic Lvy

motion to model the noise.

Denition

The one-dimensional generalized hyperbolic distribution is

dened by the Lebesgue density:

gh(x; , , , , ) =a(, , , )(

2

+ (x )

2

)

(1/2)/2

K

1/2

(

_

2

+ (x )

2

) exp((x ))

a(, , , ) =

(

2

2

)

/2

2

1/2

(

_

2

)

Presented by Kaijie Cui North/South Dialogue Talk

Introduction

Lvy driven Ornstein-Uhlenbeck Model

Futures Pricing under Lvy driven OU model

Conclusion

Motivation

Model

Data Analysis

Fitting noise

Table: Estimations of the tted generalized hyperbolic distribution

Calgary 27.5526 26.5012 21.7036 0.7168 5.3918

Toronto 16.8141 31.3320 24.8234 7.4866 10.9646

0 0.2 0.4 0.6 0.8 1

0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1

0 0.2 0.4 0.6 0.8 1

0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1

5 4 3 2 1 0 1 2 3 4

0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1

x

F

(x

)

Empirical CDF

CDF of simulations

CDF of Calgary residuals

5 4 3 2 1 0 1 2 3 4 5

0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1

x

F

(x

)

Empirical CDF

CDF of simulations

CDF of Toronto residuals

Figure: CDF of simulated series and residual observations.

Presented by Kaijie Cui North/South Dialogue Talk

Introduction

Lvy driven Ornstein-Uhlenbeck Model

Futures Pricing under Lvy driven OU model

Conclusion

CAT futures

CDD and HDD futures

CAT futures

Consider price dynamics of futures written on Cumulative

average temperature indices over time period [

1

,

2

],

1

<

2

.

Assume the daily average temperature dynamics follows Lvy

driven OU model above.

e

r (

2

t)

E

Q

__

2

1

T

u

du F

CAT

(t ,

1

,

2

)|F

t

_

= 0.

F

CAT

(t ,

1

,

2

) = E

Q

_

_

2

1

T

u

du|F

t

_

.

Presented by Kaijie Cui North/South Dialogue Talk

Introduction

Lvy driven Ornstein-Uhlenbeck Model

Futures Pricing under Lvy driven OU model

Conclusion

CAT futures

CDD and HDD futures

CAT futures

Assume (t ) : [0, T] R is a measurable and bounded

function. Consider process

Z

t

= exp(

_

t

0

(s)dL

s

_

t

0

((s))ds).

The probability measure Q

transform:

Q

(A) = E[1

A

Z

T

].

Presented by Kaijie Cui North/South Dialogue Talk

Introduction

Lvy driven Ornstein-Uhlenbeck Model

Futures Pricing under Lvy driven OU model

Conclusion

CAT futures

CDD and HDD futures

CAT futures

Theorem

The future price F

CAT

(t ,

1

,

2

) at time t

1

written on a CAT

index over the time interval [

1

,

2

] is given by

F

CAT

(t ,

1

,

2

) =

_

2

1

s(u)du

+

1

(T(t ) s(t ))(e

(

2

t)

e

(

1

t)

)

+

1

_

2

t

u

(e

(

2

u)

1)

((u))du

1

_

1

t

u

(e

(

1

u)

1)

((u))du

Presented by Kaijie Cui North/South Dialogue Talk

Introduction

Lvy driven Ornstein-Uhlenbeck Model

Futures Pricing under Lvy driven OU model

Conclusion

CAT futures

CDD and HDD futures

CDD and HDD futures

CDD:

_

1

max(T

u

c, 0)du =

_

1

(T

u

c)

+

du;

HDD:

_

1

max(c T

u

, 0)du =

_

1

(c T

u

)

+

du.

For CDD future(HDD is similar):

e

r (

2

t)

E

Q

_

_

1

(T

u

c)

+

du F

CDD

(t ,

1

,

2

)|F

t

_

= 0,

F

CDD

(t ,

1

,

2

) = E

Q

_

_

1

(T

u

c)

+

du|F

t

_

.

Presented by Kaijie Cui North/South Dialogue Talk

Introduction

Lvy driven Ornstein-Uhlenbeck Model

Futures Pricing under Lvy driven OU model

Conclusion

CAT futures

CDD and HDD futures

CDD and HDD futures

Theorem

For random variable X() =

_

0

u

e

(u)

dL

u

,

E

Q

[exp(i X())] = exp(()), the logarithm of characteristic

function, () of X() under measure Q

is given by

() =

_

0

((t )e

(t)

i (t ))dt

_

0

(i (t ))dt ,

Presented by Kaijie Cui North/South Dialogue Talk

Introduction

Lvy driven Ornstein-Uhlenbeck Model

Futures Pricing under Lvy driven OU model

Conclusion

CAT futures

CDD and HDD futures

CDD and HDD futures

Theorem

(Fourier Inversion Theorem) Let F(x) denote the cumulative

density function of the random variable X(), the corresponding

probability function f (x) is integrable in Lebesgue sense, i.e.

f (x) L. The characteristic function of X() is dened as

(t ) =

_

+

e

itx

f (x)dx, and () L is given. Then,

f (x) =

1

2

_

+

e

itx

(t )dt =

1

_

+

0

e

itx

(t )dt .

Presented by Kaijie Cui North/South Dialogue Talk

Introduction

Lvy driven Ornstein-Uhlenbeck Model

Futures Pricing under Lvy driven OU model

Conclusion

CAT futures

CDD and HDD futures

CDD and HDD futures

By Fourier Inversion Theorem, consider the probability density

function f (x) and DFT X

k

=

N1

n=0

x

n

e

ik

2

N

n

, using trapezoid

rule to approximate the integral

f (x) =

1

_

+

0

e

itx

(t )dt

=

1

_

e

it

0

x

(t

0

) + e

it

N

x

(t

N

)

2

+

N1

k=1

e

it

k

x

(t

k

)t

_

N1

k=0

k

e

it

k

x

(t

k

)t ,

where

k

=

_

1

2

, k=0;

1, otherwise.

Presented by Kaijie Cui North/South Dialogue Talk

Introduction

Lvy driven Ornstein-Uhlenbeck Model

Futures Pricing under Lvy driven OU model

Conclusion

CAT futures

CDD and HDD futures

CDD and HDD futures

Based on the construction of Chourdakis (2004), let = t ,

then t

k

= k, grid spacing =

2

N

, then the return grids

x

j

= b +j , (4)

where b is a parameter to control the return range. Under this

setting,

f (x

j

)

1

N1

k=0

k

e

i k(b+j )

(k)

=

N1

k=0

1

k

e

i kb

e

ik

2

N

j

(k)

=

N1

k=0

f

k

e

ij

2

N

k

, f

k

=

1

k

e

i kb

(k), j = 0, ..., N 1.

(5)

Presented by Kaijie Cui North/South Dialogue Talk

Introduction

Lvy driven Ornstein-Uhlenbeck Model

Futures Pricing under Lvy driven OU model

Conclusion

CAT futures

CDD and HDD futures

CDD and HDD futures

Theorem

Numerically, the CDD futures F

CDD

(t ,

1

,

2

) at time t

1

written on a CDD index over time interval [

1

,

2

] can be

approximated by

F

CDD

(t ,

1

,

2

) =

u=

1

x

k

cs

u

+(T

0

s

0

)e

u

[x

k

+ (s

u

+ (T

0

s

0

)e

u

c)]f (x

k

, u)u,

where f (x

k

, u) is given by Equation 5 and x

k

are constructed in

approach using fast Fourier transform to compute f (x

k

, u), refer

to Equation 4.

Presented by Kaijie Cui North/South Dialogue Talk

Introduction

Lvy driven Ornstein-Uhlenbeck Model

Futures Pricing under Lvy driven OU model

Conclusion

CAT futures

CDD and HDD futures

CDD and HDD futures

Theorem

The relation between future prices of CAT, CDD and HDD is

formulated as

F

CDD

(t ,

1

,

2

) = c(

2

1

) F

CAT

(t ,

1

,

2

) F

HDD

(t ,

1

,

2

).

Presented by Kaijie Cui North/South Dialogue Talk

Introduction

Lvy driven Ornstein-Uhlenbeck Model

Futures Pricing under Lvy driven OU model

Conclusion

Conclusion

Modelling of Daily average temperature variations by a

mean-reverting Ornstein-Uhlenbeck process driven by

general Levy Process was proposed;

Tested and tted the model to Canadian temperature data

(Calgary AB. and Toronto ON.);

The prices of futures written on CAT, CDD and HDD

indices are derived explicitly.

Presented by Kaijie Cui North/South Dialogue Talk

Introduction

Lvy driven Ornstein-Uhlenbeck Model

Futures Pricing under Lvy driven OU model

Conclusion

Future works

Implement of pricing formulas and methods;

Working on a CAR(Continuous-time autoregressive) model

driven by Lvy process;

Combine CAR model with regime-switching model.

Presented by Kaijie Cui North/South Dialogue Talk

Introduction

Lvy driven Ornstein-Uhlenbeck Model

Futures Pricing under Lvy driven OU model

Conclusion

Reference

1 Benth F. E. and

Saltyt

_

e-Benth J. (2007), The volatility of

temperature and pricing of weather derivatives", Quant.

Finance, 7(5), pp. 553-561.

2 Dornier F. and Queruel M. (2000) Caution to the wind",

EPRM, August, pp.30-32.

3 Chourdakis K. (2004), Option pricing using the fractional

FFT", J. Comp. Finance, 8(2), pp. 1-18.

Presented by Kaijie Cui North/South Dialogue Talk

Introduction

Lvy driven Ornstein-Uhlenbeck Model

Futures Pricing under Lvy driven OU model

Conclusion

Thanks!

Presented by Kaijie Cui North/South Dialogue Talk

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