*Tid:***26 februari 2001 kl 1515-1600 **

*Plats :***Seminarierummet 3733**, Institutionen för
matematik, KTH, Lindstedts väg 25, plan 7. Karta!

*Föredragshållare:***
David Stillberger.
**

**Titel:** **
On pricing weather derivatives**

* Sammanfattning: *
The main objective of this thesis is to find a pricing model for temperature
based weather derivatives. The approach we use is to first find a stochastic
process that describes the evolution of the temperature. The unknown parameters
in the model are estimated using historical temperature data. Since temperature
is not tradable, the market for weather derivatives is incomplete. Thus we
have to consider the market price of risk to be able to compute unique prices of
the contracts. Numerical examples of prices of some contracts are presented,
using an approximation formula as well as Monte
Carlo simulations.