The markets for electricity, gas and temperature have distinctive features, which provide the
focus for countless studies. For instance, electricity and gas prices may soar several …

We propose an Ornstein–Uhlenbeck process with seasonal volatility to model the time
dynamics of daily average temperatures. The model is fitted to approximately 45 years of …

This paper introduces the class of volatility modulated Lévy-driven Volterra (VMLV)
processes and their important subclass of Lévy semistationary (LSS) processes as a new …

The paper focuses on the role of climate and weather derivatives (CDs/WDs for short) as
instruments to hedge climate risk. The aim of this paper is twofold:(i) we introduce a copula …

For non-storable commodities forward looking information about market conditions is not
necessarily incorporated in today's prices, and the standard assumption that the information …

In this paper, in the context of an Ornstein–Uhlenbeck temperature process, we use neural
networks to examine the time dependence of the speed of the mean reversion parameter α …

Weather derivatives (WD) are end-products of a process known as securitization that
transforms non-tradable risk factors (weather) into tradable financial assets. For pricing and …

The project that led to this book started in August 2011 when Matheus Grasselli proposed
the writing of a monograph on the quantitative financial aspects of energy markets in a new …

Principal component analysis (PCA) is a widely used dimension reduction tool in high-
dimensional data analysis. In risk quantification in finance, climatology and many other …

This paper analyzes observed prices of US temperature futures at the Chicago Mercantile
Exchange (CME). Results show that an index modeling approach without detrending …