Stephen Jewson

Risk Management Solutions

London EC3R 8NB

United Kingdom

SCHOLARLY PAPERS

46

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Top 2,752

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23,059

SSRN CITATIONS
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Top 14,517

in Total Papers Citations

3

CROSSREF CITATIONS

99

Scholarly Papers (46)

1.

Introduction to Weather Derivative Pricing

Number of pages: 8 Posted: 23 Jun 2004
Stephen Jewson
Risk Management Solutions
Downloads 2,619 (10,024)
Citation 12

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 1,832 (17,653)
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 1,650 (20,771)
Citation 6

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 935 (47,453)
Citation 9

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 724 (67,105)
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 700 (70,028)
Citation 3

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 659 (75,670)
Citation 4

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 649 (77,140)
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 584 (88,098)
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 563 (92,167)
Citation 4

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 518 (102,331)
Citation 5

Abstract:

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Weather derivative pricing, temperature trends, global warming

12.

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 503 (106,023)
Citation 2

Abstract:

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weather derivatives, normal distribution, variance estimators

13.

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 501 (106,553)

Abstract:

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

14.

Estimation of Uncertainty in the Pricing of Weather Options

Number of pages: 10 Posted: 06 Oct 2003
Stephen Jewson
Risk Management Solutions
Downloads 498 (107,375)
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 473 (114,037)

Abstract:

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weather derivatives, principal component analysis, PCA, EOF

16.

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 450 (121,034)

Abstract:

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Weather derivatives, arbitrage pricing

17.

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 442 (123,625)
Citation 2

Abstract:

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weather derivatives, trends, detrending

18.

Simple Models for the Volatility of Weather Derivative Underlyings

Number of pages: 20 Posted: 23 Feb 2004
Stephen Jewson
Risk Management Solutions
Downloads 438 (124,981)
Citation 3

Abstract:

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weather, weather derivatives, weather volatility

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 416 (132,664)
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 415 (133,043)

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 406 (136,366)
Citation 4

Abstract:

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

22.

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 399 (139,154)
Citation 8

Abstract:

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Weather derivatives, trends, global warming, climate change

23.

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 397 (139,994)
Citation 3

Abstract:

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

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 378 (147,813)
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 372 (150,527)
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 365 (153,737)
Citation 5

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 328 (172,563)
Citation 1

Abstract:

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

28.

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 327 (173,098)

Abstract:

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

29.

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 318 (178,248)

Abstract:

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weather derivatives, trends, detrending, recentering

30.

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 302 (188,231)
Citation 3

Abstract:

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Weather derivatives, detrending, global warming

31.

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 299 (190,297)
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 298 (190,980)
Citation 2

Abstract:

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

33.
Downloads 278 (205,031)
Citation 4

Abstract:

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weather derivatives, seasonal forecasts, ENSO, El Nino

34.

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 276 (206,565)
Citation 1

Abstract:

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Weather derivatives, hedging, beta

35.

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 274 (208,088)
Citation 3

Abstract:

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

36.

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 266 (214,440)
Citation 1

Abstract:

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

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 249 (228,989)

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 248 (229,911)

Abstract:

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Weather, weather derivatives, kernel density, adjusted kernel density

39.
Downloads 246 (231,650)
Citation 1

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weather derivatives, trends, bayesian statistics

40.

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 246 (231,650)
Citation 2

Abstract:

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

41.

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 242 (235,395)
Citation 3

Abstract:

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Weather derivatives, detrending, damped linear detrending, shrinkage

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 233 (244,255)

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 219 (258,980)
Citation 2

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 214 (264,683)

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 197 (285,471)

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 113 (449,669)

Abstract:

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Uncertainty, Sensitivity, Weather Derivatives, Emulators