The project I want to talk about is my master degree thesis "I derivati climatici

nella gestione degli effetti economici del rischio naturale", that can be traslated
in "WEATHER Derivatives IN THE MANAGEMENT OF THE ECONOMIC EFFECTS OF NATURAL RISK"

The aim of the thesis is to illustrate the instrument of weather derivatives,

investigating the limits and criticalities that affect their diffusion and also
investigating the possibility of using them as risk management tools.

In this thesis, i used an actuarial pricing approach, based on discounting the

expected value of the payoff, in order to price derivatives whose underlying was
the temperature

starting from historical data of the temperature of an Italian location (Carpi

Cortile), an econometric model was constructed in order to describe the dynamic of
the average daily temperature.

Starting from the model then, i simulated the underlying dynamic and then
estimated the expected payoff of some European call and put options, defined in
such a way to offer an overview of the market as realistic as possible.

Finally, on the basis of the prices calculated in this way, I tested the
effectiveness of wweather derivatives as a risk management tool, aimed at reducing
the uncertainty caused by the temperature dynamic on the local wine production. The
results of the analysis showed a positive contribution to the reduction of
volatility of the production value, attesting the validity of these instruments in
the risk management field

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as anticipated, in my thesis work I had to model the daily climatic temperature
starting from a dataset containing the data relating to the daily temperature of a
certain geographical location

starting from the historical series of 20 year of daily temperature, using Rstudio,
I built a model able to simulate the dynamics of the average daily temperature and
then derive an estimate of the payoff of some derivatives

another use of R that I made, this time in my free time, was to use the software to
analyze some forums on the internet, in particular reddit, to monitor market
sentiment and track how many times and how frequent listed companies are mentioned,

but it is just about scraping web pages, so quite a simple task

but to show that this is a field, that even if i didn't

it is a field that I have not studied much at university, but that interests me a
lot