BSc Mathematics - An Analysis of Markov Switching Models for Weather Derivative Pricing
This project was implemented and developed as part of a BSc thesis at Linköping university. The work has yet to be finished or published.
Description of Project
ToDo
Description of File Hierarchy
RepoFolder - Top level folder
- ProjectWrapper.m - Main wrapper file - single point use of the full project
- ProjectWrapper.fig - GUI file if needed
- Dataparsing - Contains files for temperature data manipulation, i.e. cleaning and averaging
- DataSets - Contains all used temperature data sets
- ParameterEstimation - Contains files to estimate seasonal function and temperature processes
- OptionValuation - Implements temperature Monte Carlo simulation
- EvaluationMethods - Compares simulations to actual temperatures, using test statistics
Extras
- OutputFiles - Contains all output files
- ConfigFiles - Contains all configuration files
- LogFiles - Contains all log files
- Pathdef_project.m - Path definition file for the whole project