一、报告题目：Weather derivative pricing under asymmetric temperature risk: A skew Ornstein-Uhlenbeck approach

二、报告人：廖仲威 教授

三、报告时间：2026年5月28日（周五）15:30-16:30

四、报告地点：和风居

报告摘要：This paper develops an interface-based skew Ornstein-Uhlenbeck (Skew-OU) model to capture asymmetric temperature dynamics that are pricing-relevant for degree-day weather derivatives. The model combines mean reversion with a localized skew mechanism at a reference interface, and a closed-form one-step crossing transition approximation delivers a tractable mixture density that supports likelihood-based estimation via an expectation-maximization algorithm and efficient simulation. Empirically, using deseasonalized daily temperatures for Toronto, the Skew-OU model delivers improved fit and out-of-sample forecasting performance relative to standard benchmarks, with gains concentrated in directional asymmetry and tail behavior that are most relevant for HDD/CDD index outcomes. We then evaluate degree-day derivatives in a simulation-based framework under an Esscher-type exponentially tilted pricing measure to capture temperature risk premia in incomplete markets. The results show that temperature asymmetry propagates to HDD/CDD index distributions and produces economically meaningful differences in option values across strikes and risk-premium scenarios, underscoring the importance of modeling asymmetric temperature dynamics for weather-linked valuation and risk management.

报告人简介：廖仲威，毕业于北京师范大学，曾先后工作于中山大学和华南师范大学，并于澳大利亚The University of Melbourne和加拿大Toronto Metropolitan University担任博士后/访问学者。现为北京师范大学文草榴社区-换妻社区-海角社区 数学系副教授。研究领域包括：随机过程稳定性；Lévy过程；马氏决策过程与最优化理论；Stein方法；金融数学；经济增长模型；不确定性度量等领域。主持国家自然科学基金，广东省基础与应用基础基金，广东省本科高校教学质量与教学改革工程建设等科研与教学项目多项。研究工作发表于《SIAM J. Control Optim.》《J. Optim. Theory Appl.》《J. Math. Econom.》《J. Theoret. Probab.》《Adv. Nonlinear Stud.》《Internat. J. Control.》等期刊。

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