Stephen Jewson

Risk Management Solutions

London EC3R 8NB

United Kingdom

SCHOLARLY PAPERS

46

DOWNLOADS
Rank 1,757

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Top 1,757

in Total Papers Downloads

21,316

SSRN CITATIONS
Rank 12,411

SSRN RANKINGS

Top 12,411

in Total Papers Citations

3

CROSSREF CITATIONS

92

Scholarly Papers (46)

1.

Introduction to Weather Derivative Pricing

Number of pages: 8 Posted: 23 Jun 2004
Stephen Jewson
Risk Management Solutions
Downloads 2,489 (6,461)
Citation 8

Abstract:

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Weather derivatives, weather risk, weather insurance

2.

The Black-Scholes Equation for Weather Derivatives

Number of pages: 7 Posted: 29 Sep 2003
Stephen Jewson and Mihail Zervos
Risk Management Solutions and King's College London - Department of Mathematics
Downloads 1,671 (12,332)
Citation 7

Abstract:

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weather, derivatives, weather derivatives, Black-Scholes, Black, arbitrage, weather swaps, balanced market model

3.

Weather Derivative Pricing and Risk Management: Volatility and Value at Risk

Number of pages: 35 Posted: 25 Jul 2003
Stephen Jewson
Risk Management Solutions
Downloads 1,560 (13,718)

Abstract:

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weather derivatives, weather risk, risk management, value at risk, VaR, expiry value at risk, expiry VaR, seasonal value at risk, seasonal VaR, weather volatility, short term risk

4.

Closed-Form Expressions for the Pricing of Weather Derivatives: Part 1 - the Expected Payoff

Number of pages: 12 Posted: 04 Oct 2003
Stephen Jewson
Risk Management Solutions
Downloads 859 (33,368)
Citation 8

Abstract:

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weather, derivatives, weather derivatives, expected payoff, normal distribution, analytical solution, closed-form expression, weather options

5.

The Use of Weather Forecasts in the Pricing of Weather Derivatives

Number of pages: 34 Posted: 26 Jun 2003
Stephen Jewson and Rodrigo Caballero
Risk Management Solutions and University of Chicago - Department of the Geophysical Sciences
Downloads 691 (44,924)
Citation 2

Abstract:

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weather derivatives, weather risk, weather forecasts, ensemble forecasts, probabilistic forecasts

6.

Weather Derivative Pricing and the Distributions of Standard Weather Indices on Us Temperatures

Number of pages: 9 Posted: 27 Apr 2004
Stephen Jewson
Risk Management Solutions
Downloads 670 (46,858)
Citation 2

Abstract:

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Weather derivatives, index distributions, normal distribution, non-normality

7.

Four Methods for the Static Hedging of Weather Derivative Portfolios

Number of pages: 8 Posted: 16 Jan 2004
Stephen Jewson
Risk Management Solutions
Downloads 628 (50,943)
Citation 3

Abstract:

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Weather derivatives, hedging, standard deviation, semi-standard deviation, value at risk, expected shortfall

8.

Closed-Form Expressions for the Pricing of Weather Derivatives: Part 2 - the Greeks

Number of pages: 13 Posted: 04 Oct 2003
Stephen Jewson
Risk Management Solutions
Downloads 602 (53,847)
Citation 3

Abstract:

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weather, derivatives, weather derivatives, greeks, normal distribution, analytical solution, closed-form expression, weather options

9.

Weather Derivative Pricing and the Year Ahead Forecasting of Temperature Part 1: Empirical Results

Number of pages: 21 Posted: 25 Apr 2004
Stephen Jewson and Anders Brix
Risk Management Solutions and Risk Management Solutions
Downloads 547 (60,761)
Citation 8

Abstract:

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Weather derivatives, backtesting, forecasting, trends

10.

Weather Derivative Pricing and the Potential Accuracy of Daily Temperature Modelling

Number of pages: 6 Posted: 25 Apr 2004
Stephen Jewson
Risk Management Solutions
Downloads 533 (62,709)
Citation 3

Abstract:

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Weather derivatives, daily temperature simulation

11.

Weather Derivative Pricing and the Spatial Variability of Us Temperature Trends

Number of pages: 21 Posted: 27 Apr 2004
Stephen Jewson and Anders Brix
Risk Management Solutions and Risk Management Solutions
Downloads 497 (68,359)
Citation 5

Abstract:

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Weather derivative pricing, temperature trends, global warming

12.

Horizon Value at Risk for Weather Derivatives Part 1: Single Contracts

Number of pages: 18 Posted: 14 Dec 2003
Stephen Jewson
Risk Management Solutions
Downloads 470 (73,253)

Abstract:

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weather, weather derivatives, value at risk, horizon value at risk

13.

Weather Derivative Pricing and the Normal Distribution: Fitting the Variance to Maximise Expected Predictive Log-Likelihood

Number of pages: 7 Posted: 27 Jun 2006
Stephen Jewson and Jeremy Penzer
Risk Management Solutions and London School of Economics
Downloads 468 (73,630)
Citation 2

Abstract:

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weather derivatives, normal distribution, variance estimators

14.

Estimation of Uncertainty in the Pricing of Weather Options

Number of pages: 10 Posted: 06 Oct 2003
Stephen Jewson
Risk Management Solutions
Downloads 468 (73,630)
Citation 1

Abstract:

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weather derivatives, weather derivative pricing, weather options, uncertainty

15.

The Application of Pca to Weather Derivative Portfolios

Number of pages: 11 Posted: 16 Jan 2004
Stephen Jewson
Risk Management Solutions
Downloads 446 (77,971)

Abstract:

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weather derivatives, principal component analysis, PCA, EOF

16.

Simple Models for the Volatility of Weather Derivative Underlyings

Number of pages: 20 Posted: 23 Feb 2004
Stephen Jewson
Risk Management Solutions
Downloads 410 (86,128)
Citation 3

Abstract:

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weather, weather derivatives, weather volatility

17.

Arbitrage Pricing of Weather Derivatives and the Stochastic Process for the Expectation of Non-Linear Weather Indices

Number of pages: 5 Posted: 21 Sep 2004
Stephen Jewson
Risk Management Solutions
Downloads 409 (86,382)

Abstract:

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Weather derivatives, arbitrage pricing

18.

Weather Derivative Pricing and the Detrending of Meteorological Data: Three Alternative Representations of Damped Linear Detrending

Number of pages: 5 Posted: 24 Jan 2005
Stephen Jewson and Jeremy Penzer
Risk Management Solutions and London School of Economics
Downloads 397 (89,334)
Citation 2

Abstract:

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weather derivatives, trends, detrending

19.

Weather Derivative Pricing and the Year Ahead Forecasting of Temperature Part 2: Theory

Number of pages: 6 Posted: 25 Apr 2004
Stephen Jewson
Risk Management Solutions
Downloads 386 (92,315)
Citation 8

Abstract:

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Weather derivatives, backtesting, trends, year ahead forecasting

20.

Multivariate Long-Memory Modeling of Daily Surface Air Temperatures and the Valuation of Weather Derivative Portfolios

Number of pages: 25 Posted: 25 Jul 2003
Stephen Jewson and Rodrigo Caballero
Risk Management Solutions and University of Chicago - Department of the Geophysical Sciences
Downloads 374 (95,780)

Abstract:

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weather derivatives, weather risk, daily temperatures, temperature time-series, arfima, varfima, multivariate

21.

Seasonality in the Statistics of Surface Air Temperature and the Pricing of Weather Derivatives

Number of pages: 22 Posted: 25 Jul 2003
Stephen Jewson and Rodrigo Caballero
Risk Management Solutions and University of Chicago - Department of the Geophysical Sciences
Downloads 373 (96,098)
Citation 4

Abstract:

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weather derivatives, weather risk, weather forecasts, ensemble forecasts, probabilistic forecasts, daily temperatures, temperature time-series

22.

Closed-Form Expressions for the Pricing of Weather Derivatives: Part 3 - the Payoff Variance

Number of pages: 11 Posted: 30 Dec 2003
Stephen Jewson
Risk Management Solutions
Downloads 368 (97,555)
Citation 3

Abstract:

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Weather, weather derivatives, payoff variance, closed-form expression

23.

Optimal Year Ahead Forecasting of Temperature in the Presence of a Linear Trend, and the Pricing of Weather Derivatives

Number of pages: 10 Posted: 13 Jul 2004
Stephen Jewson and Jeremy Penzer
Risk Management Solutions and London School of Economics
Downloads 362 (99,391)
Citation 8

Abstract:

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Weather derivatives, trends, global warming, climate change

24.

Horizon Value at Risk for Weather Derivatives Part 2: Portfolios

Number of pages: 10 Posted: 23 Feb 2004
Stephen Jewson
Risk Management Solutions
Downloads 355 (101,584)
Citation 1

Abstract:

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weather, weather derivatives, value at risk , horizon value at risk

25.

Comparing the Potential Accuracy of Burn and Index Modelling for Weather Option Valuation

Number of pages: 13 Posted: 16 Jan 2004
Stephen Jewson
Risk Management Solutions
Downloads 347 (104,144)
Citation 2

Abstract:

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Weather derivatives, weather option pricing, burn, index modelling

26.

Weather Derivative Pricing and the Interpretation of Linear Trend Models

Number of pages: 5 Posted: 13 Jul 2004
Stephen Jewson and Jeremy Penzer
Risk Management Solutions and London School of Economics
Downloads 332 (109,545)
Citation 4

Abstract:

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Weather derivatives, trends, linear trends, optimal trends

27.

Weather Derivative Pricing and the Normal Distribution: Comparing Three Fitting Schemes Using the Out-of-Sample Log-Likelihood Scoring System

Number of pages: 9 Posted: 12 Nov 2006
Stephen Jewson and Jeremy Penzer
Risk Management Solutions and London School of Economics
Downloads 294 (124,713)
Citation 1

Abstract:

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weather derivatives, normal distribution, variance estimators, t-distribution

28.

Closed Form Expressions for the Uncertainty from Linear Detrending, and the Pricing of Weather Derivatives

Number of pages: 8 Posted: 06 Jul 2004
Stephen Jewson and Jeremy Penzer
Risk Management Solutions and London School of Economics
Downloads 293 (125,156)

Abstract:

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weather derivatives, trends, detrending, recentering

29.

Risk Loading and Implied Volatility in the Pricing of Weather Options

Number of pages: 12 Posted: 30 Dec 2003
Stephen Jewson
Risk Management Solutions
Downloads 283 (129,898)

Abstract:

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Weather, weather derivatives, implied volatility, implied standard deviation, risk loading

30.

Weather Derivative Pricing and a Preliminary Investigation into a Decision Rule for Detrending

Number of pages: 8 Posted: 15 Nov 2004
Stephen Jewson and Jeremy Penzer
Risk Management Solutions and London School of Economics
Downloads 274 (134,346)
Citation 3

Abstract:

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Weather derivatives, detrending, global warming

31.

Weather Derivative Pricing and the Detrending of Meteorological Data: Closed-Form Solutions for the Behaviour of a Simple Decision Rule

Number of pages: 7 Posted: 15 Nov 2004
Stephen Jewson and Jeremy Penzer
Risk Management Solutions and London School of Economics
Downloads 271 (135,883)
Citation 3

Abstract:

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Weather derivatives, detrending, global warming

32.

Closed-Form Expressions for the Pricing of Weather Derivatives Part 4 - the Kernel Density

Number of pages: 12 Posted: 11 Feb 2004
Stephen Jewson
Risk Management Solutions
Downloads 266 (138,551)
Citation 2

Abstract:

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Weather derivatives, weather options, kernel density, closed-form solutions

33.
Downloads 260 (141,739)
Citation 4

Abstract:

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weather derivatives, seasonal forecasts, ENSO, El Nino

34.

The Relative Importance of Trends, Distributions and the Number of Years of Data in the Pricing of Weather Options

Number of pages: 13 Posted: 13 Apr 2004
Stephen Jewson
Risk Management Solutions
Downloads 251 (146,798)
Citation 3

Abstract:

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Weather derivatives, weather options, trends, distributions, actuarial pricing

35.

Weather Derivative Pricing and the Impact of El Nino on Us Temperature: The Statistics of Optimal Categorical Predictions

Number of pages: 6 Posted: 24 Jan 2005
Stephen Jewson and Jeremy Penzer
Risk Management Solutions and London School of Economics
Downloads 236 (155,815)
Citation 1

Abstract:

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weather derivatives, ENSO, El Nino, La Nina, seasonal forecasts

36.

Closed-Form Expressions for the Beta of a Weather Derivative Portfolio

Number of pages: 16 Posted: 16 Jan 2004
Stephen Jewson
Risk Management Solutions
Downloads 232 (158,475)
Citation 1

Abstract:

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Weather derivatives, hedging, beta

37.

Weather Derivative Pricing and the Year-Ahead Forecasting of Surface Air Temperature: A Comparison of Predictions Based on Local and Global Trend Estimates

Number of pages: 6 Posted: 26 Nov 2004
Stephen Jewson and Jeremy Penzer
Risk Management Solutions and London School of Economics
Downloads 229 (160,425)

Abstract:

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weather derivatives, trends, detrending, year-ahead forecasting

38.

Use of the Basic and Adjusted Kernel Densities for Weather Derivative Pricing

Number of pages: 6 Posted: 31 Dec 2003
Stephen Jewson
Risk Management Solutions
Downloads 222 (165,281)

Abstract:

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Weather, weather derivatives, kernel density, adjusted kernel density

39.

Weather Derivative Pricing and the Year-Ahead Forecasting of Surface Air Temperature: An Empirical Evaluation of Damped Linear Detrending

Number of pages: 9 Posted: 26 Nov 2004
Stephen Jewson and Jeremy Penzer
Risk Management Solutions and London School of Economics
Downloads 220 (166,703)
Citation 3

Abstract:

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Weather derivatives, detrending, damped linear detrending, shrinkage

40.
Downloads 216 (169,551)
Citation 1

Abstract:

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weather derivatives, trends, bayesian statistics

41.

Closed-Form Expressions for the Pricing of Weather Derivatives: The Expected Payoff for Gamma Distributed Indices

Number of pages: 8 Posted: 16 Aug 2004
Stephen Jewson
Risk Management Solutions
Downloads 215 (170,296)
Citation 2

Abstract:

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Weather derivatives, closed-form solution, exact solution, gamma distribution, event indices, frost days

42.

Weather Derivative Pricing and the Impact of El Nino on Us Temperature: Empirical Tests of an Optimal Categorical Forecasting Scheme

Number of pages: 7 Posted: 05 Apr 2005
Stephen Jewson and Shree P. Khare
Risk Management Solutions and University Corporation for Atmospheric Research
Downloads 213 (171,797)

Abstract:

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Weather derivatives, ENSO, El Nino, La Nina, seasonal forecasts

43.

Closed-Form Expressions for the Pricing of Weather Derivatives: The Payoff Variance for Gamma Distributed Indices

Number of pages: 5 Posted: 16 Aug 2004
Stephen Jewson
Risk Management Solutions
Downloads 186 (194,568)
Citation 1

Abstract:

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Weather derivatives, closed-form solutions, exact solutions, gamma distribution, payoff variance, frost days

44.

Closed-Form Expressions for the Pricing of Weather Derivatives: The Expected Payoff for t-Distributed Indices

Number of pages: 8 Posted: 09 Aug 2008
Stephen Jewson
Risk Management Solutions
Downloads 182 (198,354)

Abstract:

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weather derivatives, bayesian, t distribution

45.

Convergence of the Distribution of Payoffs for Portfolios of Weather Derivative Options

Number of pages: 8 Posted: 29 Apr 2004
Stephen Jewson
Risk Management Solutions
Downloads 175 (205,235)

Abstract:

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weather derivatives, weather options, payoff distribution, normal distribution

46.

Credible Interval Computation in Weather Derivatives Pricing

Number of pages: 71 Posted: 23 Nov 2012
Shree Khare and Stephen Jewson
Risk Management Solutions and Risk Management Solutions
Downloads 86 (346,675)

Abstract:

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Uncertainty, Sensitivity, Weather Derivatives, Emulators