Download This PaperThe Application of Pca to Weather Derivative Portfolios
11 Pages Posted: 16 Jan 2004
Date Written: January 11, 2004
Abstract
We describe the mathematics of PCA and give an example of how it can be used to identify the dominant patterns of variability in a weather derivative portfolio.
Keywords: weather derivatives, principal component analysis, PCA, EOF
JEL Classification: G13
Suggested Citation: Suggested Citation
Jewson, Stephen, The Application of Pca to Weather Derivative Portfolios (January 11, 2004). Available at SSRN: https://ssrn.com/abstract=0486503 or http://dx.doi.org/10.2139/ssrn.486503
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