Understanding and Modelling Weather Derivatives in Australia for the Purpose of their Accurate Pricing: a Statistical and Econometric Investigation

为了准确定价而理解和建模澳大利亚的天气衍生品：统计和计量经济学调查

• 批准号: DP0666266
• 负责人: Prof Rodney Wolff
• 金额: $ 13.87万
• 依托单位: Queensland University of Technology
• 依托单位国家: 澳大利亚
• 项目类别: Discovery Projects
• 财政年份: 2006
• 资助国家: 澳大利亚
• 起止时间: 2006-01-01 至 2009-03-31
• 项目状态: 已结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/DP0666266
• 关键词: Understanding; Modelling; Weather; Derivatives; Australia

Australia suffers some of the most adverse and extreme weather globally. Its government and industries, especially agriculture and electricity, stand to benefit from improved understanding of weather derivatives and capability to price them accurately. Tailored to Australian weather scenarios, weather derivatives will be tools to manage local risk factors, and increase global competitiveness by hedging against competitors' good weather-related advantage. The US weather derivative market, capitalised at over US$7.5b, began just 7 years ago; there is no organised Australian market. This project's smart techniques for improving pricing accuracy will support the development and vigorous growth of a local market.

澳大利亚遭受着全球最恶劣和极端的天气。中国政府和工业，特别是农业和电力，将受益于对天气衍生品的进一步了解以及对其进行准确定价的能力。天气衍生品针对澳大利亚天气情况量身定制，将成为管理当地风险因素的工具，并通过对冲竞争对手与天气相关的良好优势来提高全球竞争力。美国天气衍生品市场的资本额超过 7.5 亿美元，成立仅 7 年；澳大利亚没有有组织的市场。该项目提高定价准确性的智能技术将支持当地市场的发展和蓬勃发展。