Title:
SYSTEM, METHOD, AND COMPUTER PROGRAM PRODUCT FOR VALUATING WEATHER-BASED FINANCIAL INSTRUMENTS
Document Type and Number:
WIPO Patent Application WO2000021015
Kind Code:
A3
Abstract:
A system and method for valuating weather-based financial instruments including weather futures, options, swaps, and the like. The system includes weather forecast, weather history, and financial databases. Also included in the system is a central processing trading server that is accessible via a plurality of internal and external workstations. The workstations provide a graphical user interface for users to enter a series of inputs and receive information (i.e., output) concerning a financial instrument. The method involves collecting the series of inputs--start date, maturity date, geographic location(s), risk-free rate, and base weather condition--affecting the value of the financial instrument and applying a pricing model modified to account for weather.
Inventors:
CORBY PAUL M
FOX FREDERIC D
FOX FREDERIC D
Application Number:
PCT/US1999/023452
Publication Date:
August 10, 2000
Filing Date:
October 08, 1999
Export Citation:
Assignee:
STRATEGIC WEATHER SERVICES (US)
International Classes:
G06Q40/00; (IPC1-7): G06F17/60
Domestic Patent References:
| WO1998012658A1 | 1998-03-26 | |||
| WO1998022899A1 | 1998-05-28 |
Other References:
HUNTER R: "Forecast for Weather Derivatives: Hot", DERIVATIVES STRATEGY, May 1998 (1998-05-01), pages 1 - 6, XP002133864
STUDWELL A.: "Weather Derivatives", 11TH CONFERENCE ON APPLIED CLIMATOLOGY, 10 January 1999 (1999-01-10) - 15 January 1999 (1999-01-15), pages 36 - 40, XP000892822
TURVAY C G: "Weather derivatives and specific event risk", PAPER PRESENTED AT THE 1999 ANNUAL MEETING OF THE AMERICAN AGRICULTURAL ECONOMICS ASSOCIATION, 8 August 1999 (1999-08-08) - 11 August 1999 (1999-08-11), Nashville, Tennessee, pages 1 - 11, XP002133865
BANHAM R: "Reinsurers seek relief in computer predictions", RISK MANAGEMENT,US,NEW YORK, NY, vol. 40, no. 8, 1 August 1993 (1993-08-01), pages 14 - 16,18-19, XP002082269
MALLIARIS M ET AL: "BEATING THE BEST: A NEURAL NETWORK CHALLENGES THE BLACK-SCHOLES FORMULA", PROCEEDINGS OF THE CONFERENCE ON ARTIFICIAL INTELLIGENCE FOR APPLICATIONS,US,LOS ALAMITOS, IEEE COMP. SOC. PRESS, vol. CONF. 9, 1993, pages 445 - 449, XP000379639, ISBN: 0-8186-3840-0
STUDWELL A.: "Weather Derivatives", 11TH CONFERENCE ON APPLIED CLIMATOLOGY, 10 January 1999 (1999-01-10) - 15 January 1999 (1999-01-15), pages 36 - 40, XP000892822
TURVAY C G: "Weather derivatives and specific event risk", PAPER PRESENTED AT THE 1999 ANNUAL MEETING OF THE AMERICAN AGRICULTURAL ECONOMICS ASSOCIATION, 8 August 1999 (1999-08-08) - 11 August 1999 (1999-08-11), Nashville, Tennessee, pages 1 - 11, XP002133865
BANHAM R: "Reinsurers seek relief in computer predictions", RISK MANAGEMENT,US,NEW YORK, NY, vol. 40, no. 8, 1 August 1993 (1993-08-01), pages 14 - 16,18-19, XP002082269
MALLIARIS M ET AL: "BEATING THE BEST: A NEURAL NETWORK CHALLENGES THE BLACK-SCHOLES FORMULA", PROCEEDINGS OF THE CONFERENCE ON ARTIFICIAL INTELLIGENCE FOR APPLICATIONS,US,LOS ALAMITOS, IEEE COMP. SOC. PRESS, vol. CONF. 9, 1993, pages 445 - 449, XP000379639, ISBN: 0-8186-3840-0
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