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