{"76631":{"#nid":"76631","#data":{"type":"event","title":"Statistics Seminar-Localising Temperature Risk","body":[{"value":"\u003Cp\u003ETITLE: Localising Temperature Risk\n\u003C\/p\u003E\u003Cp\u003ESPEAKER: Professor Wolfgang Haerdle\u003C\/p\u003E\u003Cp\u003EABSTRACT:\u003C\/p\u003E\u003Cp\u003EOn the temperature derivative market, modeling temperature volatility is\nan important issue for pricing and hedging. In order to apply pricing\ntools of financial mathematics, one needs to isolate a Gaussian risk\nfactor. A conventional model for temperature dynamics is a stochastic\nmodel with seasonality and intertemporal autocorrelation.\nEmpirical work based on seasonality and autocorrelation correction reveals\nthat the obtained residuals are heteroscedastic with a periodic pattern.\nThe object of this research is to estimate this heteroscedastic function\nso that after scale normalisation a pure standardised Gaussian variable\nappears. Earlier work investigated this temperature risk in different\nlocations and showed that neither parametric component functions nor a\nlocal linear smoother with constant smoothing parameter are flexible\nenough to generally describe the volatility process well. Therefore, we\nconsider a local adaptive modeling approach to find at each time point, an\noptimal smoothing parameter to locally estimate the seasonality and\nvolatility. Our approach provides a more flexible and accurate fitting\nprocedure of localised temperature risk process by achieving\nexcellent normal risk factors.\n\u003C\/p\u003E\u003Cp\u003E\nContact: \u0022Wolfgang Haerdle\u0022 \u003Ca href=\u0022mailto:wolfgang.k.haerdle@me.com\u0022\u003Ewolfgang.k.haerdle@me.com\u003C\/a\u003E\n\u003C\/p\u003E","summary":null,"format":"limited_html"}],"field_subtitle":"","field_summary":"","field_summary_sentence":[{"value":"Localising Temperature Risk"}],"uid":"27187","created_gmt":"2012-01-09 10:08:22","changed_gmt":"2016-10-08 01:56:57","author":"Anita Race","boilerplate_text":"","field_publication":"","field_article_url":"","field_event_time":{"event_time_start":"2012-01-19T10:00:00-05:00","event_time_end":"2012-01-19T11:00:00-05:00","event_time_end_last":"2012-01-19T11:00:00-05:00","gmt_time_start":"2012-01-19 15:00:00","gmt_time_end":"2012-01-19 16:00:00","gmt_time_end_last":"2012-01-19 16:00:00","rrule":null,"timezone":"America\/New_York"},"extras":[],"groups":[{"id":"1242","name":"School of Industrial and Systems Engineering (ISYE)"}],"categories":[],"keywords":[],"core_research_areas":[],"news_room_topics":[],"event_categories":[{"id":"1795","name":"Seminar\/Lecture\/Colloquium"}],"invited_audience":[],"affiliations":[],"classification":[],"areas_of_expertise":[],"news_and_recent_appearances":[],"phone":[],"contact":[{"value":"\u003Cp\u003EJeff Wu\u003C\/p\u003E","format":"limited_html"}],"email":[],"slides":[],"orientation":[],"userdata":""}}}