Stephen Jewson

Risk Management Solutions

London EC3R 8NB

United Kingdom

SCHOLARLY PAPERS

46

DOWNLOADS
Rank 1,033

SSRN RANKINGS

Top 1,033

in Total Papers Downloads

19,941

CITATIONS
Rank 3,300

SSRN RANKINGS

Top 3,300

in Total Papers Citations

165

Scholarly Papers (46)

1.

Introduction to Weather Derivative Pricing

Number of pages: 8 Posted: 23 Jun 2004
Stephen Jewson
Risk Management Solutions
Downloads 2,184 (4,163)
Citation 5

Abstract:

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 University of London - Department of Mathematics
Downloads 1,471 (8,108)
Citation 5

Abstract:

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 1,397 (9,157)
Citation 5

Abstract:

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 800 (21,791)
Citation 9

Abstract:

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 656 (29,283)
Citation 2

Abstract:

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 605 (32,260)
Citation 4

Abstract:

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 577 (33,904)
Citation 1

Abstract:

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 555 (36,527)
Citation 8

Abstract:

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 480 (42,783)
Citation 8

Abstract:

Weather derivatives, backtesting, forecasting, trends

10.

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 479 (44,702)
Citation 5

Abstract:

Weather derivative pricing, temperature trends, global warming

11.

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 472 (43,794)
Citation 2

Abstract:

Weather derivatives, daily temperature simulation

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 442 (49,173)
Citation 3

Abstract:

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 436 (49,027)
Citation 3

Abstract:

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 435 (49,576)
Citation 1

Abstract:

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 410 (52,711)

Abstract:

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 387 (57,296)
Citation 2

Abstract:

Weather derivatives, arbitrage pricing

17.

Simple Models for the Volatility of Weather Derivative Underlyings

Number of pages: 20 Posted: 23 Feb 2004
Stephen Jewson
Risk Management Solutions
Downloads 384 (57,818)
Citation 3

Abstract:

weather, weather derivatives, weather volatility

18.

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 364 (62,929)
Citation 6

Abstract:

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

19.

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 355 (64,141)
Citation 1

Abstract:

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

20.

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 353 (63,531)
Citation 8

Abstract:

Weather derivatives, backtesting, trends, year ahead forecasting

21.

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 345 (62,708)
Citation 1

Abstract:

weather derivatives, trends, detrending

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 337 (67,227)
Citation 9

Abstract:

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

23.

Horizon Value at Risk for Weather Derivatives Part 2: Portfolios

Number of pages: 10 Posted: 23 Feb 2004
Stephen Jewson
Risk Management Solutions
Downloads 334 (68,672)
Citation 3

Abstract:

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

24.

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 328 (68,672)
Citation 8

Abstract:

Weather derivatives, trends, global warming, climate change

25.

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 315 (73,083)
Citation 3

Abstract:

Weather derivatives, trends, linear trends, optimal trends

26.

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 291 (75,061)
Citation 2

Abstract:

Weather derivatives, weather option pricing, burn, index modelling

27.

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 278 (84,383)
Citation 10

Abstract:

weather derivatives, trends, detrending, recentering

28.

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 277 (85,062)

Abstract:

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

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 253 (91,770)

Abstract:

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

30.

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 248 (96,081)
Citation 5

Abstract:

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

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 246 (95,280)
Citation 4

Abstract:

Weather derivatives, detrending, global warming

32.

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 242 (96,081)
Citation 3

Abstract:

Weather derivatives, detrending, global warming

33.
Downloads 233 (101,518)
Citation 5

Abstract:

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 233 (101,089)
Citation 2

Abstract:

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

35.

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 217 (110,988)
Citation 3

Abstract:

Weather derivatives, hedging, beta

36.

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 212 (110,988)

Abstract:

weather derivatives, trends, detrending, year-ahead forecasting

37.

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 209 (110,988)
Citation 1

Abstract:

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

38.

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 205 (116,262)
Citation 7

Abstract:

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

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 204 (117,363)
Citation 3

Abstract:

Weather derivatives, detrending, damped linear detrending, shrinkage

40.

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 202 (117,944)
Citation 1

Abstract:

Weather, weather derivatives, kernel density, adjusted kernel density

41.

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 193 (120,127)
Citation 1

Abstract:

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

42.

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 180 (132,543)
Citation 6

Abstract:

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

43.
Downloads 176 (129,802)
Citation 1

Abstract:

weather derivatives, trends, bayesian statistics

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 159 (142,452)
Citation 6

Abstract:

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 158 (147,079)

Abstract:

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 50 (264,345)

Abstract:

Uncertainty, Sensitivity, Weather Derivatives, Emulators