Rodrigo Caballero

University of Chicago - Department of the Geophysical Sciences

Dr.

5734 S. Ellis Avenue

Chicago, IL 60637

United States

SCHOLARLY PAPERS

3

DOWNLOADS

1,529

SSRN CITATIONS

3

CROSSREF CITATIONS

3

Scholarly Papers (3)

1.

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 717 (65,286)
Citation 2

Abstract:

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

2.

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 409 (130,179)

Abstract:

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

3.

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 403 (132,385)
Citation 4

Abstract:

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