Pricing of Asian temperature risk

Weather derivatives (WD) are different from most financial derivatives because the underlying weather cannot be traded and therefore cannot be replicated by other financial instruments. The market price of risk (MPR) is an important parameter of the associated equivalent martingale measures used to price and hedge weather futures/options in the market. The majority of papers so far have priced non-tradable assets assuming zero MPR, but this assumption underestimates WD prices. We study the MPR structure as a time dependent object with concentration on emerging markets in Asia. We find that Asian Temperatures (Tokyo, Osaka, Beijing, Teipei) are normal in the sense that the driving stochastics are close to a Wiener Process. The regression residuals of the temperature show a clear seasonal variation and the volatility term structure of CAT temperature futures presents a modified Samuelson effect. In order to achieve normality in standardized residuals, the seasonal variation is calibrated with a combination of a fourier truncated series with a GARCH model and with a local linear regression. By calibrating model prices, we implied the MPR from Cumulative total of 24- hour average temperature futures (C24AT) for Japanese Cities, or by knowing the formal dependence of MPR on seasonal variation, we price derivatives for Kaohsiung, where weather derivative market does not exist. The findings support theoretical results of reverse relation between MPR and seasonal variation of temperature process.Weather derivatives, continuous autoregressive model, CAT, CDD, HDD, risk premium

Strict Liability for Sellers of Used Products: A Conceptual Rationale and Current Status

Marketers of used products face uncertainty in the legal environment because of the inconsistent ways their offerings are treated with respect to strict product liability. The authors analyze the conceptual underpinnings of strict liability to assess its applicability to used goods. Then they examine litigated cases to present an overview of current judicial treatment of defective used products. Finally, they discuss policy issues related to used products in the context of both the law and marketing

Punitive Damages after BMW v. Gore (1996)

The U.S. Supreme Court handed down its decision in BMW v. Gore (1996) in May. This decision triggered another round of discussions regarding restraints on punitive damages as a part of the overall reform of the U.S. tort system. Here, the authors review the BMW decision and its immediate predecessors to illustrate the essential public policy issues that are associated with proposed limits on punitive damages

Intra-Industry Joint Liability: Implications for Marketing

Market share liability is the most recent product liability development in the area of intra-industry joint liability, in which all members of an industry are sued. The various intra-industry approaches by which a consumer can recover for injuries are reviewed in this article, and their implications for marketing are examined

Marketing Scholarship: Evolving Research Standards

Marketing academics endeavor to conduct research that contributes to the development of cutting edge theories and ideas about marketing. At the same time, they try to incorporate these research findings into their classes through the application of theories to the practice of marketing. Even so, marketing scholarship comes under intermittent attack for being arcane and irrelevant for practitioners. To explore this disconnect between theory and practice, we review the evolution of scholarly research in marketing. We identify the various definitions of scholarship that have evolved as business schools have matured. We conclude that marketing academics must make scholarly contributions, variously defined, in order to maintain contact with the discipline. Our analysis is based on the views of two 60-year-old professors who completed their doctoral work in the early 1970s