Weather Analysis and Markov Regime Switching Jump Diffusion
Models
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Documentation for package ‘weatherMRJD’ version 0.1.1
Help Pages
| calibrate_mrjd | Calibrate Dynamic SDE and Jump Parameters |
| fit_seasonal_trend | Fit Fourier Seasonal Baseline Trend |
| price_weather_option | Price HDD and CDD Weather Derivatives |
| simulate_weather_paths | Simulate Temperature Paths via Non-Homogeneous Jump-Diffusion |