The 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

Jewson, Stephen, The Application of Pca to Weather Derivative Portfolios (January 11, 2004). Available at SSRN: https://ssrn.com/abstract=486503 or http://dx.doi.org/10.2139/ssrn.486503

Stephen Jewson (Contact Author)

Risk Management Solutions ( email )

London EC3R 8NB
United Kingdom

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