{"id":{"repo_id":"uwo","oai_identifier":"oai:uwo.scholaris.ca:20.500.14721/39058"},"canonical_url":"https://search.dev.ndltd.org/etd/uwo/oai:uwo.scholaris.ca:20.500.14721/39058","repository":{"repo_id":"uwo","name":"Western University","base_url":"https://uwo.scholaris.ca/server/oai/request"},"display":{"title":"Pricing Weather Derivatives","abstract":"The impact of the weather on everyday life is well documented. Businesses must hedge this impact. Faced with increased market deregulation, competition for business is keener than ever, hence businesses can no longer just transfer the burden of falling revenues to consumers. In this thesis, we study weather derivatives. These are a set of financial instruments that are becoming increasingly popular and widely used in industry. We discuss their anatomy and their importance as a weather risk management tool. We focus our study on degree day options, weather options whose underlying is the temperature. We thus develop a stochastic temperature model which we use to price these options. We compare the results our model yields with historical option payouts. We also use bond pricing techniques to calculate the expected temperature, which we compare with the mean of the temperature obtained from our model. We find that our model gives reasonable results for the degree day options we seek to price.","abstract_html":"The impact of the weather on everyday life is well documented. Businesses must hedge this impact. Faced with increased market deregulation, competition for business is keener than ever, hence businesses can no longer just transfer the burden of falling revenues to consumers. In this thesis, we study weather derivatives. These are a set of financial instruments that are becoming increasingly popular and widely used in industry. We discuss their anatomy and their importance as a weather risk management tool. We focus our study on degree day options, weather options whose underlying is the temperature. We thus develop a stochastic temperature model which we use to price these options. We compare the results our model yields with historical option payouts. We also use bond pricing techniques to calculate the expected temperature, which we compare with the mean of the temperature obtained from our model. 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Businesses must hedge this impact. Faced with increased market deregulation, competition for business is keener than ever, hence businesses can no longer just transfer the burden of falling revenues to consumers. In this thesis, we study weather derivatives. These are a set of financial instruments that are becoming increasingly popular and widely used in industry. We discuss their anatomy and their importance as a weather risk management tool. We focus our study on degree day options, weather options whose underlying is the temperature. We thus develop a stochastic temperature model which we use to price these options. We compare the results our model yields with historical option payouts. We also use bond pricing techniques to calculate the expected temperature, which we compare with the mean of the temperature obtained from our model. 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We thus develop a stochastic temperature model which we use to price these options. We compare the results our model yields with historical option payouts. We also use bond pricing techniques to calculate the expected temperature, which we compare with the mean of the temperature obtained from our model. We find that our model gives reasonable results for the degree day options we seek to price."],"dc:identifier.uri":["https://hdl.handle.net/20.500.14721/39058"],"dc:language.iso":["en"],"dc:publisher":["The University of Western Ontario"],"dc:title":["Pricing Weather Derivatives"],"dc:type":["Thesis"],"thesis:degree_discipline":["Applied Mathematics"],"thesis:degree_name":["Master of Science"],"thesis:institution_name":["The University of Western Ontario"]},"updated_at":"2026-07-27T21:56:18Z"}