STEPHEN JEWSON 169Cao, M. and Wei, J. (2000) “Pricing the Weather”,Risk, 13(5): 67–70.
Dischel, R. (1998) “Black-Scholes Won’t Do”,Energy and Power Risk Management Weather
Risk Special Report, October.
Dischel, R. (2002) (Ed.).Climate Risk and the Weather Market(London: Risk Books).
Dornier, F. and Queruel, M. (2000) “Caution to the Wind”,Energy and Power Risk
Management Weather Risk Special Report, 8(2): 30–2.
Element, R. (2002)Weather Risk Management(London: Palgrave Macmillan).
Goldman Sachs (1999) Kelvin Ltd.Offering Circular.
Hoeting, J., Madigan, D., Raftery, A. and Volinsky, C. (1999) “Bayesian ModelAveraging”,
Statistical Science, 14(2): 382–401.
Iman, R. and Conover, W. (1982) “A Distribution-Free Approach to Inducing Rank
Correlation Among Input Variables”,Communications in Statistics, 11(1): 311–34.
Jewson, S. (2003a) “Estimation of Uncertainty in the Pricing of Weather Options”, Working
Paper, http://www.ssrn.com/abstract= 441286
Jewson, S. (2003b) “Horizon Value at Risk for Weather Derivatives Part 2: Portfolios”,
Working Paper, http://www.ssrn.com/abstract= 478051
Jewson, S. (2004) “The Relative Importance of Trends, Distributions and the Num-
ber of Years of Data in the Pricing of Weather Options”, Working Paper, http://www.ssrn.
com/abstract= 516503
Jewson, S. (2005) “Improving on the Empirical Covariance Matrix Using Truncated PCA
with White Noise Residuals”, Working Paper,arXiv:physics/0506055.
Jewson, S. and Caballero, R. (2002) “Multivariate Long-Memory Modelling of Daily Sur-
face Air Temperatures and the Valuation of Weather Derivative Portfolios”, Working
Paper, http://www.ssrn.com/abstract= 405800
Jewson, S. and Jones, S. (2005) “Weather Derivatives and Carbon Emissions Trading”, in
K. Tang (ed.),The Finance of Climate Change(London: Risk Books).
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”, Working Paper,
http://www.ssrn.com/abstract= 563943
Jewson, S., Brix, A. and Ziehmann, C. (2005)Weather Derivative Valuation(Cambridge:
Cambridge University Press).
Ledoit, O. and Wolf, M. (2003) “Improved Estimation of the Covariance Matrix of Stock
Returns with an Application to Portfolio Selection”,Journal of Empirical Finance, 10(5):
603–21.
Moreno, M. (2000) “Riding the Temp”,Futures and Options World, 1–12 December.
Moreno, M. and Roustant, O. (2002) “Modelisation de la Temperature: Application aux
Derives Climatiques”, in J. Blondeau and C. Partrat (eds),La Reassurance, Approche
Technique(Paris: Economica).
Torro, H., Meneu, V. and Valor, E. (2001) “Single Factor Stochastic Models with Season-
ality Applied to Underlying Weather Derivatives Variables”, Technical Report No. 60,
European Financial Management Association.
Wang, S. (1998) “Aggregation of Correlated Risk Portfolios: Models and Algorithms”,
Proceedings of the Casualty Actuarial Society, 85(163): 1–32.
Zeng, L. and Perry, K. (2002) “Managing a Portfolio of Weather Derivatives”, in
R.S. Dischel (ed.),Climate Risk and the Weather Market, pp. 241–64 (London: Risk Books).