Modeling temperature dynamics and pricing temperature derivatives: an investigative Kenyan example

dc.contributor.author	Maina, Francis Karanja
dc.date.accessioned	2019-05-02T17:16:55Z
dc.date.available	2019-05-02T17:16:55Z
dc.date.issued	2018
dc.description	Submitted in partial fulfillment of the requirements for the Degree of Bachelor of Business Science in Finance at Strathmore University	en_US
dc.description.abstract	The following research project will propose a mean-reverting stochastic process for modelling the daily average temperature in the Kenyan context. The proposed modelling framework will then be used to price a weather derivatives instrument. First, a general description of weather derivatives is provided along with their applicability in the market. Different models postulated in modeling the dynamics of temperature are then outlined. The Alaton model is then highlighted; a model that prescribes an Ornstein – Uhlenbeck process for the modeling of temperature. The methodology is then outlined as well as a description of the calibration of the model. Thereafter, the aforementioned model dynamics are used in pricing a CDD call option.	en_US
dc.identifier.uri	http://hdl.handle.net/11071/6458
dc.language.iso	en_US	en_US
dc.publisher	Strathmore University	en_US
dc.subject	Finance	en_US
dc.subject	Financial modeling	en_US
dc.subject	Temperature dynamics	en_US
dc.subject	Derivatives	en_US
dc.title	Modeling temperature dynamics and pricing temperature derivatives: an investigative Kenyan example	en_US
dc.type	Undergraduate project	en_US

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