演講公告

東海大學統計學系學術演講20181012

公告時間:2018-10-05 11:58:02
公告單位:統計學系

 

 

 

東海大學統計學系學術演講

間:1071012日(星期五下午14:10~15:00

點:管理學院新大樓M242

主講人:林士貴   教授(政治大學金融學系)

題:Modelling and Pricing Temperature Derivatives with Seasonality

       and Asymmetry GARCH Variance Patterns

Abstract

In this paper, we develop the S-MR-S-SA-GARCH model to depict the features of DAT, and derive the closed-form solution for CDD/HDD futures pricing formula. The empirical results show that the DAT exists the features of the seasonal cycle of one year and the mean-reversion. The variance of DAT exists the seasonality, the variance clustering, and the seasonal asymmetric unexpected shock. Besides, the positive calibrated market price of risks implies that the investor who purchases the CDD/HDD futures would require the positive risk compensation for the temperature risk. For in-sample pricing performance, the S-MR-S-SA-GARCH model is the dominant pattern to depict the path of DAT and price CDD/HDD futures in the most of sample period. For the out-of-sample pricing performance, in hot days, the DAT closes the long-run mean level with the small variance of DAT, and we can predict the trend of DAT more exactly.

Keywords: CDD/HDD futures; daily average temperature; seasonality of mean, variance, and asymmetry; characteristic function pricing framework; climate change

JEL: C22, C46, G01, G12, G21

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