Helene Hamisultane

EconomiX

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Nanterre cedex, Nanterre Cedex 92000

France

SCHOLARLY PAPERS

2

DOWNLOADS

534

CITATIONS
Rank 40,138

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Top 40,138

in Total Papers Citations

4

Scholarly Papers (2)

1.

Extracting Information from the Market to Price the Weather Derivatives

Number of pages: 33 Posted: 12 Jun 2006 Last Revised: 20 Oct 2007
Helene Hamisultane
EconomiX
Downloads 329 (71,787)
Citation 3

Abstract:

weather derivatives, incomplete market, mean-reverting jump diffusion process, EGARCH process, PIDE, inversion problem

2.

Utility-Based Pricing of the Weather Derivatives

Number of pages: 32 Posted: 07 Aug 2006 Last Revised: 20 Oct 2007
Helene Hamisultane
EconomiX
Downloads 203 (118,486)
Citation 1

Abstract:

Weather derivatives, consumption-based asset pricing model, constant relative risk aversion utility function, generalized method of moments, simulated method of moments, HAC matrix, Monte-Carlo simulations, periodic variance, GARCH