Yeung Yun Sing Samson. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2005. / Includes bibliographical references (leaves 64-67). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Background --- p.5 / Chapter 2.1 --- Applicability of Weather Derivative in Hong Kong: The Recre- ation Industry --- p.7 / Chapter 2.2 --- Types of Weather Risk --- p.9 / Chapter 3 --- Literature Review --- p.12 / Chapter 4 --- Basic Model --- p.17 / Chapter 4.1 --- Notations --- p.18 / Chapter 4.2 --- Assumptions --- p.21 / Chapter 4.3 --- The Profit Model --- p.22 / Chapter 5 --- Fundamental Analysis --- p.25 / Chapter 5.1 --- Sales Profit Analysis --- p.25 / Chapter 5.2 --- Option Analysis --- p.27 / Chapter 5.3 --- Profit Function Reformulation --- p.30 / Chapter 6 --- Objectivel: Lexicographic Optimization --- p.35 / Chapter 6.1 --- Equivalence between Lexicographic Optimization and Expected Utility Maximization --- p.38 / Chapter 6.2 --- Minimizing the Conditional Profit Variance given Q* --- p.39 / Chapter 6.3 --- Numerical Examples --- p.42 / Chapter 6.3.1 --- Convexity of conditional profit variance --- p.42 / Chapter 6.3.2 --- Correlation between Q* & N* --- p.47 / Chapter 7 --- Objective2: Mean-Variance Optimization --- p.52 / Chapter 7.1 --- Numerical Examples --- p.59 / Chapter 8 --- Conclusion and Future Work --- p.61 / Bibliography --- p.64 / Chapter A --- Weather Option Pricing --- p.68 / Chapter B --- Infeasibility of Perfect Hedge --- p.70

Key words. Newsvendor Model, Inventory Model, Seasonal Product, Weather Risk, Weather Option, Weather Derivative, Weather-Conditional Rebate, CVaR, Mean-CVaR. / The first model considers the problem of hedging inventory risk for a newsvendor who sells a seasonal product. The newsvendor not only decides the order quantity, but also adopts a weather hedging strategy. A typical hedging strategy is to use an option that is constructed on a weather index before the season begins, which will compensate the buyer of the option if the actual seasonal weather index is above (or below) a given strike level. We explore the joint decision problem in mean-variance, expected utility, conditional value-at-risk (CVaR), and mean-CVaR frameworks. We analyze the impact of weather hedging on optimal order quantity. It is proven that the newsvendor may order more than in the absence of weather options. Numerical analysis on the sensitivity of the optimal order quantity, the risk premium of the option, the portfolio selection and the comparison between the weather option hedging and a particular operational hedging are presented as well. / The second model investigates the advantages of early sales of a seasonal product. To induce early sales, the newsvendor adopts a weather-conditional rebate program, which will pay rebates to the customers who buy the product in the preselling period if a specified weather condition for normal selling season is realized. For an example, a certain amount of refund will be paid to early buyer if the seasonal average temperature falls below the past-three-year seasonal average. Two conditional rebate programs with early booking and early purchasing are investigated and compared. Both of them can price differentiate within a customer among his/her post valuation on the seasonal product, and thus increase the sales. For the early purchasing program, it can further save inventory holding cost and ordering cost. The expected profit can be improved by the programs. Moreover, combined with weather derivatives, the conditional rebate program can manage the financial risk with the expected profit being still improved. / To investigate the means that firms may adopt in managing the adverse impacts of weather on their businesses, this dissertation proposes and analyzes two inventory models for seasonal products when the demand is sensitive to the weather in the season. Both models are formulated under the newsvendor context. / Gao, Fei. / "October 2007." / Adviser: Youhua Frank Chen. / Source: Dissertation Abstracts International, Volume: 69-08, Section: B, page: 5002. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2007. / Includes bibliographical references (p. 108-119). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. [Ann Arbor, MI] : ProQuest Information and Learning, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [201-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts in English and Chinese. / School code: 1307.

This study used county-level yields and panel data (1950-2006) to explain the Impact of climate change and weather variability on North Dakota agriculture by estimating the effect of variation in temperature and precipitation on the yields of four major crops: com, durum, soybeans and wheat. In addition to yields, the study examined Impacts of climate change on crop gross revenues per acre for all 53 counties in North Dakota. An econometric model was developed to infer statistical relationships between weather variability and crop yields. Fixed and random effects models were employed to estimate the impacts of climate variables (temperature and precipitation) on crop yields. The Hausman test statistics was applied to test the preferred panel estimation approach: fixed versus random effects. Using mean values of precipitation and degree days for all counties, we calculated percentage changes in estimated crop yields for six climate change scenarios. The historical price data for the four crops (com, soybeans, spring wheat and durum) were used to generate per acre gross returns under the six weather-change scenarios in order to provide preliminary evidence about the effects of precipitation and temperature changes on farmer returns for the four crops.

Thesis (MBA (Business Management))--University of Stellenbosch, 2009. / ENGLISH ABSTRACT: Experimental research in psychology and economics indicates that depression causes heightened risk aversion. Previous research has documented robust links between seasonal variation in length of day, seasonal depression (known as seasonal affective disorder, or SAD), risk aversion and stock market returns. One such study provides international evidence that stock market returns vary seasonally with the length of the day, a result called the SAD effect. Stock returns are shown to be significantly related to the amount of daylight throughout the autumn and winter. Another study examines the SAD effect in the context of an equilibrium asset pricing model to determine whether the seasonality can be explained using a conditional version of the capital asset pricing model (CAPM) that allows the price of risk to vary over time. Given the above as the base departure point, this report analyses the SAD effect in the context of the South African capital market, where, firstly, the variation in length of day during the year is not so severe compared with other countries like Sweden and the UK and, secondly, a more recent dataset includes the effects of integrated markets and globalisation, that possibly resulted in a shift of seasonal behaviour in the market. It quantifies the SAD effect in general, across industry sectors, over time periods and confirms that a conditional CAPM holds in explaining the seasonality due to SAD. The results differ substantially from those of prior studies. The expected signs of the SAD and Aut coefficients are reversed. Closer analysis shows that seasonality in stock returns has undergone a shift compared to seasonality in an older dataset. A prior finding that effects, such as the SAD, are better explained using excess returns than using raw total returns of the market, is reinforced. The analysis of SAD over time sheds some light on the unexpected outcome of the SAD and Aut coefficients by providing evidence that the validity of regression models deteriorated over time and, more conclusively, that in two consecutive periods, the SAD and Aut coefficients decreased in absolute value. It also found that the coefficients are linearly related to excess returns during the latter period only. The conditional CAPM provides evidence that the effect of SAD is captured in the time variation in the price of risk. The factor of reducing the remainder of SAD in error terms is, however, remarkably smaller. The implication is that market risk already accounts for the SAD effect, but only to a degree, and that the remaining contribution of the SAD effect contained in varying the price of risk is substantially less significant. This finding coupled with the contradictory results in the signs of SAD and Aut coefficients renders evidence of SAD in the South African market rather inconclusive. / AFRIKAANSE OPSOMMING: Navorsing in die gebied waar sielkunde en ekonomie oorvleuel, toon dat depressie ‘n verlaagde risiko-aptyt meebring. Meer spesifiek, vorige navorsing dokumenteer dat robuuste skakels tussen seisoenale lengtes van dae, seisoenale depressie (beter bekend as winter depressie), risiko-aptyt en opbrengste op die andelebeurs bestaan. Een van hierdie studies, wat uitgevooer was op ’n aantal hoof internasionale markte, bevind dat opbrengste op die aandelebeurse wel seisoenaal varieer in ooreenstemming met die lengtes van dae. In dié studie word daar getoon dat opbrengste noemenswaardig ooreenstem met die hoeveelheid sonlig gedurende herfs en winter. ’n Ander studie bestudeer weer seisoenale depressie in konteks met ’n ekwilibrium kapitaal-bate prysmodel om vas te stel of seisoenaliteit verklaar kan word deur ’n kondisionele weergawe van hierdie model waar die prys van risiko varieer oor tyd. Met bogenoemde as vertrekpunt, analiseer die verslag wat volg winterdepressie in die Suid-Afrikaanse aandelemark waar, eerstens, die variasie in lengtes van dae gedurende die jaar minder is as vir ander lande soos Swede en Engeland, en tweedens, waar ’n meer onlangse datastel die effekte van geintegreerde markte en globalisasie insluit. Die verslag kwantifiseer seisoenale depressie in die algemeen op die effektebeurs, pas dan regressie-modelle toe op verskeie industrie-sektore en oor verskillende periodes. Ten einde, word bevestig dat ’n kondisionele kapitaal-bate prysmodel seisoenaliteit as gevolg van winterdepressie kan verklaar. Vergeleke met vorige studies, word daar teenstrydighede in die resultate opgemerk ten opsigte van die verwagte tekens van die koeffisiënte. Met nadere ondersoek word bevind dat die seisoenaliteit in opbrengste ’n verskuiwing ondergaan het vergeleke met ’n ouer datastel. ’n Vorige bevinding dat faktore, tipies soos seisoenale depressie, beter verklaar kan word deur alpha opbrengste (risiko vrye obrengste afgetrek) as rou opbrengste, word bevestig. Die analise oor tyd verklaar gedeeltelik die onverwagte koeëfisiënte. Daar word waargeneem dat die geldigheid van regressie modelle oor twee opeenvolgende tydperke verswak het. Verder word daar ook bevind dat die absolute waardes van die koeëfisiënte verklein het en dat koeëfisiënte ’n liniêre verwantskap met opbrengste toon, slegs in die latere tydperk. Die toepassing van ‘n kondisionele kapitaal-bate prysmodel bevestig dat seisoenale depressie teenwoordig is in die prys van risiko. Daar word verder bevestig dat mark risiko gedeeltelik seisoenale depressie verklaar en dat die oorblywende teenwoordigheid daarvan in die prys van risiko heelwat minder statistiese geldigheid het. Gegewe dit, tesame met die teenstrydigheid in die tekens van die koeëfisiënte, word enige duidelike konklusies ten opsigte van seisoenale depressie se teenwoordigheid in die Suid-Afrikaanse mark verhoed.

Thesis (MBA)--Stellenbosch University, 2002. / ENGLISH ABSTRACT: This study reviews the development and current status of the weather derivative market in the world. As technology has improved, man's potential to model the unpredictable has come to the fore. Changes in the macro economic environment have prompted business to diversify. Deregulation in the American energy market and the advent of weather phenomenon like EI Nino and La Nina enticed large business to hedge their risk exposure in a different way than traditional diversification. Risk for the agriculture sector can be divided into three categories: Price risk, event risk and yield risk. Price risk has been managed by the incorporation of options and futures in the marketing of produce and acquiring of requisites. In conclusion the research finds that the SA market has the potential to grow faster than its American and European counterparts partly because techniques developed can be "leap frogged", but mostly because the SA environment induces smaller contracts that will lead to more market participants and eventually to higher liquidity. / AFRIKAANSE OPSOMMING: Hierdie studie bespreek die ontwikkeling en huidige stand van die Weer afgeleide instrumente mark in die wêreld. Soos tegnology verbeter het, het die mens se vermoeë om die onsekere te voorspel na vore getree. Veranderings in die makro ekonomiese omgewing het besighede genoodsaak om te diversifiseer. Deregulasie van die Amerikaanse energy mark en weerverskynsels soos EI Nino en La Nina het groot besighede verplig om risiko te verskans deur middel van 'n ander metode as tradisionele diversifikasie. Risiko in die landbou sektor kan verdeel word in drie kategorie; prys risiko, gebeurtenis risiko en laastens opbrengs risiko. In die verlede is prys risiko bestuur deur die insluiting van afgeleide opsies in die bemarkingsaksie van kommoditeite. Gebeurtenis risiko is beheer deur oes versekering en die laaste word deesdae deur weer afgeleide instrumente bestuur. In samevatting bevind die navorsing dat die Suid Afrikaanse mark die potensiaal bevat om vinnig te groei. Deels omdat tegnieke wat ontwikkel is gebruik kan word en deels omdat die Suid Afrikaanse omgewing kleiner kontrakte, dog meer deelnemers in die mark stimuleer.

Strong seasonality is observed in the volatile hourly Alberta temperature and its low- and high-order statistical moments. We propose a time series model consisting of a linear combination of an annual sinusoidal model, a diurnal sinusoidal model and a fractional residual model, to study the characteristics of these spatial and time-dependent Alberta temperatures. Wavelet multi-resolution analysis is used to measure Hurst exponents of the temperature series. Our empirical results show that these Hurst exponents vary over various time scales, indicating the existence of multi-fractality in the temperatures. Such temperature models are of importance for the pricing and insurance of agricultural crops, of tourist resorts and of all forms of energy extraction and generation of importance to the resource-based economy of Alberta. Of particular interests are the observed extreme volatilities in the winters, caused by the unpredictable Chinook winds, which may be an important reason to introduce a Chinook insurance option. / 64 leaves : map ; 29 cm