54 citations · 64 across the 3 of their papers we have counts for
4 papers
Hedging crop yields against weather uncertainties -- a weather derivative perspective
Samuel Asante Gyamerah, Philip Ngare, Dennis Ikpe
The effects of weather on agriculture in recent years have become a major global concern. Hence, the need for an effective weather risk management tool (i.e., weather derivatives)…
Crop yield probability density forecasting via quantile random forest and Epanechnikov Kernel function
Samuel Asante Gyamerah, Philip Ngare, Dennis Ikpe
A reliable and accurate forecasting model for crop yields is of crucial importance for efficient decision-making process in the agricultural sector. However, due to weather extreme…
Expansion formulas for European quanto options in a local volatility FX-LIBOR model
Julien Hok, Philip Ngare, Antonis Papapantoleon
We develop an expansion approach for the pricing of European quanto options written on LIBOR rates (of a foreign currency). We derive the dynamics of the system of foreign LIBOR ra…
Utility indifference pricing of derivatives written on industrial loss indexes
Gunther Leobacher, Philip Ngare
We consider the problem of pricing derivatives written on some industrial loss index via utility indifference pricing. The industrial loss index is modelled by a compound Poisson p…