Articles and seminars by Stephen Jewson
OUR BOOK ON WEATHER DERIVATIVES PRICING:
Weather Derivative Valuation, by Stephen Jewson and Anders Brix, with Christine Ziehmann
(follow one of these links to purchase: Cambridge Univ Press-US, Cambridge Univ Press-UK, Amazon.com, Amazon.co.uk)
Profits
from the sales of this book are donated to Centrepoint, a charity for socially
excluded young people in
Articles
(117) X (2007): X: x
(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. OShay, 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 main 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 main 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
(102) Laepple, T., Jewson,
S., Meagher, J., O'Shay, A. and Penzer, J. (2007): Five year prediction of sea surface temperature in the tropical
(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
(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/0611071
(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
(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
(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
(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
(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
Academic seminars
(12) Columbia University International Research Institute for Climate
Prediction, New York: 11th Jan, 2004: "The calibration of site
specific temperature forecasts"
(11) Reading University Met Department, Reading: 1st Dec, 2003: "Weather
derivatives and ensemble forecasts"
(10) EMC-NCEP-NOAA, Maryland: 14 July 2003: "New methods for the
assessment and calibration of ensemble temperature forecasts"
(9) ECMWF, Reading: 11 July 2003: "New methods for the assessment
and calibration of ensemble temperature forecasts"
(8) ECMWF, Reading: 9 Jan 2003: "Uses of medium range ensemble
forecasts in the pricing of weather derivatives"
(7) Oxford University, Oxford: AOPP, 17 Oct 2002: "Weather
derivative valuation"
(6) London School of Economics: 5 Mar 2002: "Statistical modelling
of daily temperature time series"
(5) Imperial College, London: 26 Feb 2002: "Weather
derivatives"
(4) Humboldt University, Berlin: Intas Workshop, 18 Feb 2002: "Actuarial
and no-arbitrage pricing of weather derivatives"
(3) King's College London: Financial Mathematics Seminar, 30 Oct 2001: "Weather
derivative pricing"
(2) Ecole Polytechnique, Paris: Frontiers in Finance workshop, 21 April 2000: "Weather derivative portfolios:
pricing, analysis and management"
(1) Lancaster University, Lancaster: 19 Jan 2000: "The pricing
of cat bonds and weather derivatives"