%0 Journal Article %1 barth2011hedging %A Barth, Andrea %A Benth, Fred Espen %A Potthoff, Jürgen %D 2011 %J Appl. Math. Finance %K ians ians-uq myown %N 2 %P 93--117 %R 10.1080/13504861003722385 %T Hedging of spatial temperature risk with market-traded futures %U http://dx.doi.org/10.1080/13504861003722385 %V 18 %X The main objective of this work is to construct optimal temperature futures from available market-traded contracts to hedge spatial risk. Temperature dynamics are modelled by a stochastic differential equation with spatial dependence. Optimal positions in market-traded futures minimizing the variance are calculated. Examples with numerical simulations based on a fast algorithm for the generation of random fields are presented.

@article{barth2011hedging, abstract = {The main objective of this work is to construct optimal temperature futures from available market-traded contracts to hedge spatial risk. Temperature dynamics are modelled by a stochastic differential equation with spatial dependence. Optimal positions in market-traded futures minimizing the variance are calculated. Examples with numerical simulations based on a fast algorithm for the generation of random fields are presented.}, added-at = {2023-12-01T16:31:21.000+0100}, author = {Barth, Andrea and Benth, Fred Espen and Potthoff, Jürgen}, biburl = {https://puma.ub.uni-stuttgart.de/bibtex/26d1004f5134c85f5b1ece763cb011fc2/abarth}, doi = {10.1080/13504861003722385}, fjournal = {Applied Mathematical Finance}, interhash = {3be992ca493152a8061e668e38e7cbee}, intrahash = {6d1004f5134c85f5b1ece763cb011fc2}, issn = {1350-486X}, journal = {Appl. Math. Finance}, keywords = {ians ians-uq myown}, mrclass = {91G80}, mrnumber = {2786978 (2012c:91255)}, number = 2, owner = {barthaa}, pages = {93--117}, timestamp = {2023-12-04T12:53:14.000+0100}, title = {Hedging of spatial temperature risk with market-traded futures}, url = {http://dx.doi.org/10.1080/13504861003722385}, volume = 18, year = 2011 }