Weather Derivative Assessment Using Temperature Stochastic Modeling at El Dorado International Airport in Bogotá
The weather and its effects have been two of the main fields of scientific discussion in recent years. In economics, that has meant greater analysis of the risks that the weather generates on the economy, in general, and on business activities, in particular. Therefore, financial derivative products...
| Autor Principal: | González Sánchez, Mariano |
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| Otros Autores: | Nave Pineda, Juan M. |
| Formato: | info:eu-repo/semantics/article |
| Idioma: | spa |
| Publicado: |
Pontificia Universidad Javeriana
2010
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| Materias: | |
| Acceso en línea: |
http://revistas.javeriana.edu.co/index.php/cuadernos_admon/article/view/3615 |
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| Sumario: |
The weather and its effects have been two of the main fields of scientific discussion in recent years. In economics, that has meant greater analysis of the risks that the weather generates on the economy, in general, and on business activities, in particular. Therefore, financial derivative products have been developed, enabling economic agents to protect themselves against such risks. Some of the most customary weather derivatives include an underlying factor that is a city’s temperature measured at the airport. In that context, this article analyzes how such temperature derivatives can be applied to Eldorado International Airport. To do so, an Ornstein-Uhlenbeck mean reversion model is adjusted to the observed temperature, its validity is verified using simulation techniques, and diverse derivative products are assessed. |
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