Stephen Jewson

Weather Derivative Valuation

Weather Derivative Valuation, by Stephen Jewson and Anders Brix, with Christine Ziehmann

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Articles by Stephen Jewson

(128) X (2010): X: x

(127) S. Jewson (2013): A Simple Method for Eliminating Double Counting in Multi-Model Ensemble Forecasts: https://www.academia.edu/4440585/_127_A_Simple_Method_for_Eliminating_Double_Counting_in_Multi-Model_Ensemble_Forecasts

(126) K. Coughlin, E. Bellone, T. Laepple, S. Jewson and K. Nzerem (2009): A relationship between all Atlantic hurricanes and those that make landfall in the USA: QJRMS, Vol 135, Issue 639, pages 371-379, 2009

(125) A. Bonazzi, S. Cusack, C. Mitas and S. Jewson (2012): The spatial structure of European wind storms as characterized by bivariate extreme-value copulas: NHESS, Vol 12, page 1769-1782, 2012

(124) S. Khare, A. Bonazzi, N. West, E. Bellone and S. Jewson (2009): On the Prediction of Over-Ocean Hurricane Surface Winds and their Uncertainty: QJRMS, Vol 135, Issue 642, pages 1350-1365, July 2009, Part A

(123) S. Jewson and E. Hawkins (2010): Uncertain Climate Forecasts from Multi-Model Ensembles: When to Use Them and When to Ignore Them: http://arxiv.org/pdf/1006.5327v1

(122) S. Jewson, D. Rowlands and M. Allen (2009): Objective Climate Model Predictions Using Jeffreys' Prior: the General Multivariate Normal Case: http://arxiv.org/pdf/1005.3907

(121) S. Jewson, D. Rowlands and M. Allen (2009): Objective Probabilistic Forecasts of Future Climate Based on Jeffreys' Prior: the Case of Correlated Observables: http://arxiv.org/pdf/1005.2354

(120) S. Jewson and E. Hawkins (2009): Improving Uncertain Climate Forecasts Using a New Minimum Mean Square Error Estimator for the Mean of the Normal Distribution: http://arxiv.org/pdf/0912.4395

(119) S. Jewson and E. Hawkins (2009): Improving the expected accuracy of forecasts of future climate using a simple bias-variance tradeoff: http://arxiv.org/pdf/0911.1904

(118) S. Jewson and E. Hawkins (2009): CMIP3 ensemble spread, model similarity, and climate prediction uncertainty: http://arxiv.org/pdf/0909.1890

(117) S. Jewson, D. Rowlands and M. Allen (2009): A new method for making objective probabilistic climate forecasts from numerical climate models based on Jeffreys' Prior: http://arxiv.org/pdf/0908.4207

(116) S. Jewson (2008): Closed-form expressions for the pricing of weather derivatives: the expected payoff for t-distributed indices: http://ssrn.com/abstract=1212528

(115) S. Jewson (2008): Weather derivative pricing and the modelling of trends: objective Bayesian versions of the flat-line, linear trend and damped linear trend models: http://ssrn.com/abstract=1212523

(114) Laepple, T., S. Jewson and K. Coughlin (2007): Interannual temperature predictions using the IPCC multi-model ensemble mean: GRL, submitted, 114.pdf

(113) Jewson, S., E. Bellone, S. Khare, T. Laepple, M. Lonfat, K. Nzerem, A. O'Shay, J. Penzer, K. Coughlin (2007): 5 Year Prediction of the Number of Hurricanes Which Make US Landfall: book chapter in Hurricanes and Climate Change, editor J. Elsner, 113.pdf

(112) Hall, T. and Jewson, S. (2007): Comparison of Local and Basin-wide methods for Risk Assessment of Tropical Cyclone Landfall: Journal of Applied Meteorology and Climatology, 112.pdf

(111) Hall, T. and Jewson, S. (2007): SST and North American Tropical Cyclone Landfall: A Statistical Modelling Study: arXiv:0801.1013

(110) Hall, T. and Jewson, S. (2007): Statistical Modelling of North American Tropical Cyclone Tracks: Tellus, 110.pdf

(109) Nzerem, K., Jewson, S. and Laepple, T. (2007): Predicting landfalling hurricane numbers from sea surface temperature: a theoretical comparison of direct and indirect approaches: arXiv:physics/0701176

(108) Laepple, T., Bellone, E., Jewson, S. and Nzerem, K. (2007): Correlations between hurricane numbers and sea surface temperature: why does the correlation disappear at landfall?: arXiv:physics/0701175

(107) Binter, R., Jewson, S., and Khare, S. (2007): Statistical modelling of the relationship between section development region sea surface temperature and landfalling Atlantic basin hurricane numbers: arXiv:physics/0701173

(106) Binter, R., Jewson, S., and Khare, S. (2007): Statistical modelling of the relationship between section development region sea surface temperature and Atlantic basin hurricane numbers : arXiv:physics/0701170

(105) Jewson, S. (2007): Predicting hurricane numbers from sea surface temperature: closed-form expressions for the mean, variance and standard error of the number of hurricanes: arXiv:physics/0701167

(104) Laepple, T., Jewson, S., Penzer, J., Bellone, E. and Nzerem, K. (2007): Predicting landfalling hurricane numbers from basin hurricane numbers: basic statistical analysis: arXiv:physics/0701166

(103) Laepple, T. and Jewson, S. (2007): Five year ahead prediction of sea surface temperature in the tropical Atlantic: a comparison between IPCC climate models and simple statistical methods: arXiv:physics/0701165

(102) Laepple, T., Jewson, S., Meagher, J., O'Shay, A. and Penzer, J. (2007): Five year prediction of sea surface temperature in the tropical Atlantic: a comparison of simple statistical methods: arXiv:physics/0701162

(101) Nzerem, K., Jewson, S. and Laepple, T. (2006): Change-point detection in the historical hurricane number time-series: why can't we detect change-points at US landfall?: arXiv:physics/0611107

(100) Jewson, S. and Penzer, J. (2006): Weather derivative pricing and the normal distribution: comparing three fitting schemes using the out-of-sample log-likelihood scoring system: http://ssrn.com/abstract=944007

(99) Hall, T. and Jewson, S. (2006): Predicting hurricane regional landfall rates: comparing local and basin-wide track model approaches: arXiv:physics/0611103

(98) Jewson, S. and Penzer, J. (2006): An objective change-point analysis of landfalling historical Atlantic hurricane numbers: arXiv:physics/0611086

(97) Jewson, S. and Penzer, J. (2006): An objective change-point analysis of historical Atlantic hurricane numbers: arXiv:physics/0611071

(96) Binter, R., Jewson, S., Khare, S., O'Shay, A. and Penzer, J: (2006): Year ahead prediction of US landfalling hurricane numbers: the optimal combination of multiple levels of activity since 1900: arXiv:physics/0611070

(95) Hall, T. and Jewson, S. (2006): Comparing classical and Bayesian methods for predicting hurricane landfall rates: arXiv:physics/0611006

(94) Jewson, S. and Penzer, J. (2006): Weather derivative pricing and the normal distribution: fitting the variance to maximise expected predictive log-likelihood: http://ssrn.com/abstract=911569

(93) Jewson, S., Penzer, J. and Casey, C. (2006): Year ahead prediction of US landfalling hurricane numbers: the optimal combination of long and short baselines for intense hurricanes: arXiv:physics/0606192

(92) Meagher, J. and Jewson, S. (2006): Year-ahead prediction of hurricane season sea surface temperature in the tropical Atlantic: arXiv: physics/0606185

(91) Jewson, S. and Penzer, J. (2006): Estimating trends in weather series: consequences for pricing derivatives: submitted to 'Studies in Non-linear Dynamics and Econometrics'

(90) Jewson, S., Casey, C. and Penzer, J. (2005): Year ahead prediction of US landfalling hurricane numbers: the optimal combination of long and short baselines: arXiv:physics/0512113

(89) Jewson, S. (2006):The Modelling of Weather Derivative Portfolio Risk: a chapter in 'Risk and Portfolio Management', a book to be published by Springer Verlag

(88) Khare, S. and Jewson, S. (2005):Year ahead prediction of US landfalling hurricane numbers: intense hurricanes: arXiv:physics/0512092

(87) Hall, T, and Jewson, S. (2005):Statistical modelling of tropical cyclone tracks: non-normal innovations: arXiv: physics/0512135

(86) Hall, T, and Jewson, S. (2005):Statistical modelling of tropical cyclone tracks: modelling cyclone lysis: arXiv:physics/0512091

(85) Hall, T, and Jewson, S. (2005):Statistical modelling of tropical cyclone genesis: a non-parametric model for the annual distribution: arXiv:physics/0510203

(84) Hall, T, and Jewson, S. (2005):Statistical modelling of tropical cyclone tracks: modelling the autocorrelation in track shape: arXiv:physics/0509024

(83) Jewson, S. Pricing the Weather: Energy Risk, August 2005

(82) Jewson, S., and Jones, S. (2005): Weather derivatives and carbon emissions trading: a chapter in The Finance of Climate Change, a book published by RiskBooks

(81) Khare, S. and Jewson, S. (2005):Year ahead prediction of US landfalling hurricane numbers: arXiv:physics/0507165

(80) Jewson, S. (2005): Improving on the empirical covariance matrix using truncated PCA with white noise residuals: arXiv:physics/0506055

(79) Jewson, S. and Whitehead, D. (2005): Taking the measure of data: Environmental Finance, April 2004

(78) Hall, T, and Jewson, S. (2005):Statistical modelling of tropical cyclone tracks: a comparison of models for the variance of trajectories: arXiv:physics/0505103

(77) Jewson, S. and Khare, S. (2005):Weather derivative pricing and the impact of El Nino on US temperature: empirical tests of an optimal categorical forecasting scheme: http://ssrn.com/abstract=695744

(76) Hall, T, and Jewson, S. (2005):Statistical modelling of tropical cyclone tracks: a semi-parametric model for the mean trajectory: arXiv:physics/0503231

(75) Jewson, S. and Penzer, J. (2005):Weather derivative pricing and the impact of El Nino on US temperature: the statistics of optimal categorical predictions: http://ssrn.com/abstract=653242

(74) Jewson, S. and Penzer, J. (2005):Weather derivative pricing and the detrending of meteorological data: three alternative representations of damped linear detrending: http://ssrn.com/abstract=653241

(73) Jewson, S. and Penzer, J. (2004):Weather derivative pricing and the detrending of meteorological data: a comparison of predictions based on local and global trend estimates: http://ssrn.com/abstract=623401

(72) Jewson, S. and Penzer, J. (2004):Weather derivative pricing and the detrending of meteorological data: an empirical evaluation of damped linear detrending: http://ssrn.com/abstract=623381

(71) Jewson, S. and Penzer, J. (2004):Weather derivative pricing and the detrending of meteorological data: closed-form solutions for the behaviour of a simple decision rule: http://ssrn.com/abstract=618592

(70) Jewson, S. and Penzer, J. (2004):Weather derivative pricing and a preliminary investigation into a decision rule for detrending": http://ssrn.com/abstract=618590

(69) Jewson, S. (2004):Probabilistic forecasting of temperature: a comparison of four spread regression models: arXiv:physics/0410053

(68) Jewson, S. (2004):Probabilistic forecasting of temperature: measuring the utility of the ensemble spread: arXiv:physics/0410039

(67) Jewson, S. (2004):Probabilistic forecasting of temperature: comments on the Bayesian model averaging approach: arXiv:physics/0409127

(66) Jewson, S. (2004):Making use of the information in ensemble weather forecasts: comparing the end to end and full statistical modelling approaches: arXiv:physics/0409097

(65) Jewson, S. (2004):Probabilistic temperature forecasting: a summary of our recent research results: arXiv:physics/0409096

(64) Jewson, S. (2004):Arbitrage pricing of weather derivatives and the stochastic process for the expectation of non-linear weather indices: http://ssrn.com/abstract=593317

(63) Jewson, S. (2004):Closed-form expressions for the pricing of weather derivatives: the payoff variance for gamma distributed indices: http://ssrn.com/abstract=576662

(62) Jewson, S. (2004):Closed-form expressions for the pricing of weather derivatives: the expected payoff for gamma distributed indices: http://ssrn.com/abstract=576661

(61) Jewson, S. and Penzer, J. (2004): Following the trend, a review of our recent work on detrending, submitted to Risk Magazine

(60) Jewson, S. (2004): The inaccessibility of meteorological journals to the private sector: a letter to the Royal Meteorological Society

(59) Jewson, S. and Penzer, J. (2004):Weather derivative pricing and the interpretation of linear trend models: http://ssrn.com/abstract=563962

(58) Jewson, S. and Penzer, J. (2004):Optimal year ahead forecasting of temperature in the presence of a linear trend, and the pricing of weather derivatives: http://ssrn.com/abstract=563943

(57) Jewson, S. and Penzer, J. (2004):Closed form expressions for the uncertainty from linear detrending, and the pricing of weather derivatives: http://ssrn.com/abstract=561841

(56) Jewson, S. (2004): Weather derivatives and weather derivative pricing: to appear in FSR Forum

(55) Jewson, S. (2004): Introduction to weather derivative pricing, submitted to JAI, http://ssrn.com/abstract=557831

(54) Jewson, S. and Brix. A. (2004): Weather derivative pricing and the spatial variability of US temperature trends: http://ssrn.com/abstract=535924

(53) Jewson, S. (2004): Weather derivative pricing and the normality of standard US temperature indices: http://ssrn.com/abstract=535982

(52) Jewson, S. (2004): Weather derivative pricing and the year ahead forecasting of temperature part 2: theory: http://ssrn.com/abstract=535143

(51) Jewson, S. and Brix, A. (2004): Weather derivative pricing and the year ahead forecasting of temperature part 1: empirical results: http://ssrn.com/abstract=535142

(50) Jewson, S. (2004): Weather derivative pricing and the potential accuracy of daily temperature modelling: http://ssrn.com/abstract=535122

(49) Jewson, S. (2004): Convergence of the distribution of payoffs for portfolios of weather derivative options: http://ssrn.com/abstract=531043

(48) Jewson, S. (2004): A preliminary assessment of the utility of seasonal forecasts for the pricing of U.S. temperature based weather derivatives: http://ssrn.com/abstract=531062

(47) Jewson, S. (2004): The relative importance of trends, distributions and the number of years of data in the pricing of weather options: http://ssrn.com/abstract=516503

(46) Jewson, S., Ambaum, M. and Ziehmann, C. (2004): Singular vector ensemble forecasting systems and the prediction of flow dependent uncertainty: arXiv:physics/0402027

(45) Jewson, S. (2004): Improving probabilistic weather forecasts using seasonally varying calibration parameters: arXiv:physics/0402026

(44) Jewson, S. (2004): The application of PCA to weather derivative portfolios: http://ssrn.com/abstract=0486503

(43) Jewson, S. (2004): Closed-form expressions for the beta of a weather derivative portfolio: http://ssrn.com/abstract=486442

(42) Jewson, S. (2004): Closed-form expressions for the pricing of weather derivatives Part 4: the kernel density: http://ssrn.com/abstract=486422

(41) Jewson, S. (2004): Comparing the potential accuracy of burn and index modelling for weather option valuation: http://ssrn.com/abstract=486342

(40) Jewson, S. (2004): Four methods for the static hedging of weather derivative portfolios: http://ssrn.com/abstract=486302

(39) Jewson, S. (2004): The problem with the Brier score: arXiv:physics/0401046

(38) Jewson, S. (2003): Weather forecasts, weather derivatives, Black-Scholes, Feynmann-Kac and Fokker-Planck: arXiv: physics/0312125

(37) Jewson, S. (2003): Use of the basic and adjusted kernel densities for weather derivative pricing: http://ssrn.com/abstract=481923

(36) Jewson, S. (2003): Risk loading and implied volatility in the pricing of weather options: http://ssrn.com/abstract=481905

(35) Temporarily removed

(34) Jewson. S. (2003): Closed form expressions for the pricing of weather derivatives part 3: the payoff variance: http://ssrn.com/abstract=481902

(33) Jewson, S. (2003): Horizon value at risk for weather derivatives part 2: portfolios: http://ssrn.com/abstract=478051

(32) Jewson, S. (2003): Horizon value at risk for weather derivatives part 1: single contracts: http://ssrn.com/abstract=477585

(31) Jewson, S. (2003): Simple models for the volatility of weather derivative underlyings: http://ssrn.com/abstract=477163

(30) Jewson, S., Hamlin J. and Whitehead D. (2003): Moving Stations and Making Money:Environmental Finance, November 2003 [30.zip]

(29) Jewson, S. (2003): Do medium range ensemble forecasts give useful predictions of temporal correlations?: arXiv: physics/0310079

(28) Jewson, S. (2003): Do probabilistic medium-range temperature forecasts need to allow for non-normality?: arXiv:physics/0310060

(27) Jewson, S. (2003): Comparing the ensemble mean and the ensemble standard deviation as inputs for probabilistic medium-range temperature forecasts: arXiv:physics/0310059

(26) Jewson, S. and Ziehmann, C. (2003): Five guidelines for the evaluation of site-specific medium range probabilistic temperature forecasts: arXiv:physics/0310021

(25) Jewson, S., Brix, A. and Ziehmann, C. (2003): A note on the use of the word "likelihood" in statistics and meteorology: arXiv:physics/0310020

(24) Jewson, S. (2003): Moment based ensemble calibration methods: arXiv:physics/0309042

(23) Jewson, S. (2003): Estimation of uncertainty in the pricing of weather options: http://ssrn.com/abstract=441286

(22) Jewson, S. and Zervos, M. (2003): The Black-Scholes equation for weather derivatives: http://ssrn.com/abstract=436282

(21) Jewson, S. (2003): Closed form expressions for the pricing of weather derivatives: Part 2 - the greeks: http://ssrn.com/abstract=436263

(20) Jewson, S. (2003): Closed form expressions for the pricing of weather derivatives: Part 1 - the expected payoff: http://ssrn.com/abstract=436262

(19) Jewson, S. (2003): Use of the likelihood for measuring the skill of probabilistic forecasts: arXiv:physics/0308046

(18) Jewson, S., Doblas-Reyes, F. and Hagedorn, R. (2003): The assessment and calibration of ensemble seasonal forecasts of equatorial pacific ocean temperature and the predictability of uncertainty: arXiv:physics/0308065

(17) Jewson, S., Brix, A. and Ziehmann, C. (2003): A new framework for the assessment and calibration of medium range ensemble temperature forecasts: arXiv:physics/0308057

(16) Jewson, S. and Ziehmann, C. (2002): Using ensembles forecasts to predict forecast changes, with application to weather swap value at risk: ASL volume 4, 15-27, 2003,  [16.zip]

(15) Jewson, S. and Ziehmann, C. (2002): Weather swap pricing and the optimal size for medium range forecast ensembles: Weather and Forecasting [15.zip]

(14) Jewson, S. (2002): Weather derivative pricing and risk management: volatility and value at risk: http://ssrn.com/abstract=405802

(13) Jewson, S. and Caballero, R. (2002): The use of weather forecasts in the pricing of weather derivatives: http://ssrn.com/abstract=405780, and Meteorological Applications

(12) Jewson, S. and Caballero, R. (2002): Seasonality in the statistics of surface air temperature and the pricing of weather derivatives: http://ssrn.com/abstract=405781 and Meteorological Applications

(11) Caballero, R. and Jewson, S. (2002): Multivariate long memory modelling of daily surface air temperatures and the valuation of weather derivative portfolios: http://ssrn.com/abstract=405800

(10) Jewson, S., Brix, A. and Ziehmann, C. (2002): Use of meteorological forecasts in weather derivative pricing: a chapter in 'Climate Risk and the Weather Market', a book published by RiskBooks [10.zip]

(9) Jewson, S. (2002):Arbitrage Pricing for Weather Options: a section in 'Climate Risk and the Weather Market', a book published by Riskbooks [09.zip]

(8) Brix, A., Jewson, S. and Ziehmann, C. (2002): Weather Derivative Modelling and Valuation: a chapter in 'Climate Risk and the Weather Market', a book published by RiskBooks [08.zip]

(7) Caballero, R., Jewson, S. and Brix, A. (2002): Long memory in surface air temperature: Detection, modelling and application to weather derivative valuation: Climate Research, Vol. 21, 127-140, 2002 [07.zip]

(6) Jewson, S. (2002): Weather Option Pricing With Transaction Costs: Energy Power and Risk Management, 2003 [06.zip]

(5) Jewson, S., Brix A. and Ziehmann, C (2002): Risk Modelling: Weather Risk Report, Global Reinsurance Review, Feb 2002 [05.zip]

(4) Jewson, S. (2001):Use of GCM Forecasts in Financial-Meteorological Models: Proceedings of the 25th Climate Diagnostics Workshop, US Dept of Commerce [04.zip]

(3) Jewson, S. and Whitehead, D. (2001): Weather Risk and Weather Data: Environmental Finance, Feb 2001 [03.zip]

(2) Jewson, S. and Brix, A. (2001): Sunny Outlook for Weather Investors?: Environmental Finance, Nov 2001 [02.zip]

(1) Jewson, S. (2000): Use of Meteorological Forecasts at RMS: ECMWF conference reports [01.zip]

(0) Elliott, J., Jewson S. and Sutton R. (2001): The Impact of the 1997/1998 El Nino event on the Atlantic Ocean: Journal of Climate, 14, 6, pg(s). 1069-1077

(-1) Sutton R., Norton W. and Jewson S. (2001): The North Atlantic Oscillation What Role for the Ocean?: Atmospheric Science Letters, 1, pg(s). 89-100

(-2) Dong, B., Sutton R., Jewson S., O'Neill A. and Slingo J. (2000): Predictable winter climate in the North Atlantic sector during the 1997-1999 ENSO cycle Geophys. Res. Lett., 27, pg(s). 985-988

(-3) Sutton, R., Jewson S. and Rowell D. (2000): The Elements of Climate Variability in the Tropical Atlantic Region: Journal of Climate, 13, 18, pg(s). 3261-3284

(-4) Kleeman R., Wang G., and Jewson S. (2001): Surface flux response to interannual tropical Pacific Sea Surface Temperature variability in AMIP models: Clim. Dyn., vol. 17, pp. 627-641, 2001