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HAVA (İKLİM) TÜREVLERİ VE FİYATLAMA YAKLAŞIMLARI

Year 2012, Volume: 26 Issue: 1, 1 - 21, 08.02.2012

Abstract

Bugün itibarı ile 50 Milyar USD’yi aşan bir işlem hacmine sahip
olan hava türevlerinin kullanımına 1996’da başlanmış ve ilk kez 1997’de
ticarete konu olmuşlardır. Söz konusu ürünler, mal ve kar kaybına yol açan
iklimsel risklerden ve mevsimsel değişikliklerden bireylerin ve kurumların
korunabilmesi amacıyla oluşturulmuşlardır. Sıcaklık, don, fırtına vb. hava
değişkenlerini temel alan bu ürünler genel olarak Isıtma ve Soğutma Derece
Günleri’ni göz önünde bulundurarak değerlenmişlerdir. Ancak, bu ürünlerin
fiyatlanması konusunda günümüze kadar birçok yaklaşım öne sürülmekle
birlikte bir uzlaşı sağlanamamış ve bu bir problem olarak süregelmiştir. Bu
makalede ilk olarak önceki çalışmalarda ortaya konulan yaklaşımların bir bütün
olarak ele alınarak sunulması hedeflenmiş, akabinde yaklaşımların
değerlendirilmesi ile uygulanabilirlik bakımından en uygun iki yaklaşımın
Monte Carlo Simülasyonu ve Burn Analizi olduğu sonucuna ulaşılmıştır.

References

  • Ait-Sahalia, Yacine (2004), “Disentangling Diffusion from Jumps”, Journal of Financial Economics, 74, pp. 487-528.
  • Alaton, Peter, Djehiche, Boualem, Stillberger, David (2002), “On Modeling and Pricing Weather”, Applied Mathematical Finance, 9, pp. 1-20.
  • Black, Fischer, Scholes, Myron (1973), “The Pricing of Options and Corporate Liabilities”, Journal of Political Economy, 81 (3), pp. 637–654.
  • Brockwell, Peter J., Davis, Richard A. (1998), Introduction to Time Series and Forecasting, New York: Springer.
  • Cao, Melanie, Wei, Jason (2000), “Pricing Weather Derivatives: an Intuitive and Parctical Approach", Risk, May, pp. 67 - 70.
  • Cao, Melanie, Wei, Jason (2003), “Weather Derivatives Valuation and Market Price of Weather Risk”, Working Paper, York University and University of Toronto, Canada.
  • CME Group (2011) The Weather Derivatives Markets at CME Group: A Brief History, pp.1-3.
  • Considine, Geoffrey (1998), “Introduction to Weather Derivatives”, Weather Derivatives Group, Aquila Energy.
  • Davis, Mark H.A. (1998), “Option Pricing in Incomplete Markets”, ln: Mathematics of Derivative Securities, Eds.: Dempster, Pliska, Cambridge, Cambridge University Press, pp.216-226.
  • Davis, Mark H.A. (2001), “Pricing Weather Derivatives by Marginal Value”, Quantitative Finance, May, Vol. 1, Iss. 3, pp. 305-308.
  • Doherty, Neil, Garven, James (1986), “Price Regulation in Property/Liability Insurance: A Contingent Claims Approach,” Journal of Finance, 41, pp. 1031-1050.
  • Dybvig, Philip H., Ross, Stephen A. (1982), “Portfolio Efficient Sets”, Econometrica, 50, pp. 1525-1546.
  • Geman, Hélyette, Cummins J. David, (1996), “Pricing Catastrophe Insurance Futures and Call Spreads: An Arbitrage Approach”, Eds. E.I. Altman, I.T. Vanderhoof, in The Strategic Dynamics of the Insurance Industry, Irwin Professional Publishing.
  • Geman, Hélyette (1999), Insurance and Weather Derivatives: From Exotic Options to Exotic Underlyings, London: Risk Books.
  • Geman, Hélyette (2005), Commodities and Commodity Derivatives : Modeling and Pricing for Agriculturals, Metals and Energy, The Wiley Finance Series, Chichester : John Wiley.
  • Geman, Hélyette, Leonardi, Marie-Pascale (2005), “Alternative Approaches to Weather Derivatives Pricing”, Managerial Finance, Vol. 31, No. 6, pp. 46-72.
  • Henderson, V. (2002), “Valuation of Claims on Nontraded Assets Using Utility Maximization”, Mathematical Finance, 12(4), pp. 351-373.
  • Jewson, Stephen, Brix, Anders., Ziehmann, Christine (2002), “Use of Meteorological Forecasts in Weather Derivative Pricing” and “Weather Derivative Modelling and Valuation”, in Climate Risk and the Weather Market, London: RiskBooks.
  • Lucas, Jr. Robert E. (1978), “Asset Prices in an Exchange Economy”, Econometrica, Vol.46, No.6, pp. 1429-1445.
  • Platen, E. (2002), “Arbitrage in Continuous Complete Markets”, Advances in Applied Probability, 34, pp. 540{558.
  • Ross, Stephen A. (1976), “The Arbitrage Theory of Capital Asset Pricing”, Journal of Economic Theory, 13 (3), pp. 341–360.
  • Warner, Charles Dudley (1897), “A well known American writer said once that, while everybody talked about the weather, nobody seemed to do anything about it”, Hartford (Connecticut) Courant, August 27, 1897, p. 8.

WEATHER DERIVATIVES and PRICING APPROACHES

Year 2012, Volume: 26 Issue: 1, 1 - 21, 08.02.2012

Abstract

The usage of weather derivatives which have a volume exceeding 50 billion USD today, began in 1996 and they were subject to trade first time in 1997. The products that are in question are created in order to protect the individuals and the institutions from climatic risks and seasonal changes which cause commodity and profit loss. These products baselined from weather variables such as heat, frost, storm and hurricane are valued generally by considering the Heating Degree Days and Cooling Degree Days. On the other hand, there has not been any compromise on the pricing of these products until today, although there are lots of approaches that were put forward and so the pricing is still . On the other hand, there has not been any compromise on the pricing of these products until today, although there are lots of approaches that were put forward and so the pricing is still a problem today. In this paper, first of all it is aimed to present the approaches that were put forward in the previous studies as a whole, and then by evaluating these approaches it is concluded that in terms of applicability the most appropriate two approaches are Monte Carlo Simulation and Burn Analysis.

References

  • Ait-Sahalia, Yacine (2004), “Disentangling Diffusion from Jumps”, Journal of Financial Economics, 74, pp. 487-528.
  • Alaton, Peter, Djehiche, Boualem, Stillberger, David (2002), “On Modeling and Pricing Weather”, Applied Mathematical Finance, 9, pp. 1-20.
  • Black, Fischer, Scholes, Myron (1973), “The Pricing of Options and Corporate Liabilities”, Journal of Political Economy, 81 (3), pp. 637–654.
  • Brockwell, Peter J., Davis, Richard A. (1998), Introduction to Time Series and Forecasting, New York: Springer.
  • Cao, Melanie, Wei, Jason (2000), “Pricing Weather Derivatives: an Intuitive and Parctical Approach", Risk, May, pp. 67 - 70.
  • Cao, Melanie, Wei, Jason (2003), “Weather Derivatives Valuation and Market Price of Weather Risk”, Working Paper, York University and University of Toronto, Canada.
  • CME Group (2011) The Weather Derivatives Markets at CME Group: A Brief History, pp.1-3.
  • Considine, Geoffrey (1998), “Introduction to Weather Derivatives”, Weather Derivatives Group, Aquila Energy.
  • Davis, Mark H.A. (1998), “Option Pricing in Incomplete Markets”, ln: Mathematics of Derivative Securities, Eds.: Dempster, Pliska, Cambridge, Cambridge University Press, pp.216-226.
  • Davis, Mark H.A. (2001), “Pricing Weather Derivatives by Marginal Value”, Quantitative Finance, May, Vol. 1, Iss. 3, pp. 305-308.
  • Doherty, Neil, Garven, James (1986), “Price Regulation in Property/Liability Insurance: A Contingent Claims Approach,” Journal of Finance, 41, pp. 1031-1050.
  • Dybvig, Philip H., Ross, Stephen A. (1982), “Portfolio Efficient Sets”, Econometrica, 50, pp. 1525-1546.
  • Geman, Hélyette, Cummins J. David, (1996), “Pricing Catastrophe Insurance Futures and Call Spreads: An Arbitrage Approach”, Eds. E.I. Altman, I.T. Vanderhoof, in The Strategic Dynamics of the Insurance Industry, Irwin Professional Publishing.
  • Geman, Hélyette (1999), Insurance and Weather Derivatives: From Exotic Options to Exotic Underlyings, London: Risk Books.
  • Geman, Hélyette (2005), Commodities and Commodity Derivatives : Modeling and Pricing for Agriculturals, Metals and Energy, The Wiley Finance Series, Chichester : John Wiley.
  • Geman, Hélyette, Leonardi, Marie-Pascale (2005), “Alternative Approaches to Weather Derivatives Pricing”, Managerial Finance, Vol. 31, No. 6, pp. 46-72.
  • Henderson, V. (2002), “Valuation of Claims on Nontraded Assets Using Utility Maximization”, Mathematical Finance, 12(4), pp. 351-373.
  • Jewson, Stephen, Brix, Anders., Ziehmann, Christine (2002), “Use of Meteorological Forecasts in Weather Derivative Pricing” and “Weather Derivative Modelling and Valuation”, in Climate Risk and the Weather Market, London: RiskBooks.
  • Lucas, Jr. Robert E. (1978), “Asset Prices in an Exchange Economy”, Econometrica, Vol.46, No.6, pp. 1429-1445.
  • Platen, E. (2002), “Arbitrage in Continuous Complete Markets”, Advances in Applied Probability, 34, pp. 540{558.
  • Ross, Stephen A. (1976), “The Arbitrage Theory of Capital Asset Pricing”, Journal of Economic Theory, 13 (3), pp. 341–360.
  • Warner, Charles Dudley (1897), “A well known American writer said once that, while everybody talked about the weather, nobody seemed to do anything about it”, Hartford (Connecticut) Courant, August 27, 1897, p. 8.
There are 22 citations in total.

Details

Primary Language English
Journal Section Makaleler
Authors

Selçuk Balı

Publication Date February 8, 2012
Published in Issue Year 2012 Volume: 26 Issue: 1

Cite

APA Balı, S. (2012). WEATHER DERIVATIVES and PRICING APPROACHES. Atatürk Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 26(1), 1-21.

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