Jeremy Penzer

London School of Economics

Houghton Street

London WC2A 2AE

United Kingdom

SCHOLARLY PAPERS

12

DOWNLOADS
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3,461

SSRN CITATIONS
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Top 43,549

in Total Papers Citations

0

CROSSREF CITATIONS

16

Scholarly Papers (12)

1.

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 479 (83,293)
Citation 2

Abstract:

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weather derivatives, normal distribution, variance estimators

2.

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 408 (100,585)
Citation 2

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weather derivatives, trends, detrending

3.

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 366 (113,756)
Citation 8

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Weather derivatives, trends, global warming, climate change

4.

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 337 (124,682)
Citation 5

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Weather derivatives, trends, linear trends, optimal trends

5.

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 302 (139,941)
Citation 1

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

6.

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 295 (143,355)

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weather derivatives, trends, detrending, recentering

7.

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 278 (152,331)
Citation 3

Abstract:

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Weather derivatives, detrending, global warming

8.

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 275 (153,981)
Citation 3

Abstract:

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Weather derivatives, detrending, global warming

9.

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 239 (176,913)
Citation 1

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

10.

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 230 (183,463)

Abstract:

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weather derivatives, trends, detrending, year-ahead forecasting

11.

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 221 (190,472)
Citation 3

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Weather derivatives, detrending, damped linear detrending, shrinkage

12.

State Space Models for Time Series with Patches of Unusual Observations

Journal of Time Series Analysis, Vol. 28, No. 5, pp. 629-645, September 2007
Number of pages: 17 Posted: 09 Aug 2007
Jeremy Penzer
London School of Economics
Downloads 31 (616,113)
Citation 1

Abstract:

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