... of ΔC_t,h, equation (11) can be rewritten as: Equation 16 After some calculations, for each λ∈Λ, the conditional expectation: Equation 17 where: Equation 18 Hence, the risk measures equation (11) can be rewritten in the following form: Equation 19 Derivatives...

.... Takeaki Kariya can be contacted at: kariya@kisc.meiji.ac.jp © Emerald Group Publishing Limited 2011 Japan Risk management Hedging Options markets Derivatives markets Financial modeling Weather derivatives Zero‐cost swap of temperature risk Equivalence of options on weather index...

..., and most firms are either unaware of their existence or believe them to be complicated. It is an industry that may experience explosive growth in the coming years. Originality/value – This paper demonstrates the use of derivatives to hedge exposure to climatic events. Derivatives markets Hedging...