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This paper is a preliminary work for the analysis of strategies to valuate weather derivatives using a complete Italian archive of average temperature data. We set a model to forecast average temperatures over relatively small time intervals (up to one year) and describe the related parameters estimation. The analysis ends up with the valuation of a Call on HDD index.

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Analysis of Historical Average Temperatures for Weather Derivatives Valuation. The Case of Parma (Italy)

  • 会议论文

  • 发表日期：

    2025年

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  • Alessandra Aimi,
  • Chiara Guardasoni,
  • Luis Ortiz-Gracia,
  • Francesco Zanni

摘要

This paper is a preliminary work for the analysis of strategies to valuate weather derivatives using a complete Italian archive of average temperature data. We set a model to forecast average temperatures over relatively small time intervals (up to one year) and describe the related parameters estimation. The analysis ends up with the valuation of a Call on HDD index.