Jeremy Penzer

London School of Economics

Houghton Street

London WC2A 2AE

United Kingdom

  • London School of Economics

SCHOLARLY PAPERS

11

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28

Scholarly Papers (11)

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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 540 (111,798)
Citation 2

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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 455 (137,678)
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 408 (156,234)
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 377 (170,695)
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 347 (187,048)
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 325 (200,758)

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weather derivatives, trends, detrending, recentering

7.

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 308 (212,811)
Citation 3

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Weather derivatives, detrending, global warming

8.

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 306 (214,265)
Citation 3

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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 272 (242,462)
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 254 (259,818)

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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 248 (266,069)
Citation 3

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Weather derivatives, detrending, damped linear detrending, shrinkage