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"A stochastic harmonic oscillator temperature model for the valuation o" by Alessio Giorgini, Rogemar S. Mamon et al.

Stochastic processes are employed in this paper to capture the evolution of daily mean temperatures, with the goal of pricing temperature-based weather options. A stochastic harmonic oscillator model is proposed for the temperature dynamics and results of numerical simulations and parameter estimation are presented. The temperature model is used to price a one-month call option and a sensitivity analysis is undertaken to examine how call option prices are affected when the model parameters are v...
Harmonic Oscillator Parameter Estimation Stochastic Models Weather Derivatives
Source: uow.edu.au

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Trend analysis and forecasting the spread of COVID-19

(1) . Therefore, only q errors will affect the existing level, but higher order errors do not affect . This indicates that it is a short memory model. Auto-Regression (AR) p, an AR ( (2) The model is described in terms of past values and therefore we would like to estimate the coefficients , and use the model for forecasting. All previous values will have cumulative effects on the existing level, which is a long-run memory model. Autoregressive Integrated Moving Average (ARIMA) Process AR...
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