Modeling And Pricing In Financial Markets For Weather Derivatives
Regular price
€93.99
14 days return policy
Shipping & Delivery
A01=Fred Espen Benth
A01=Jurate Saltyte-benth
Author_Fred Espen Benth
Author_Jurate Saltyte-benth
Autoregressive Moving Average Time Series
Category=KFFM
CDD
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
Esscher Transform
Futures Contracts
Girsanov Transform
HDD
Options
Precipitation
Stochastic Processes
Temperature
Utility Pricing
Weather Derivatives
Wind Speed
Product details
- ISBN 9789814401845
- Publication Date: 04 Dec 2012
- Publisher: World Scientific Publishing Co Pte Ltd
- Publication City/Country: SG
- Product Form: Hardback
Secure
checkout
Fast Shipping
Easy returns
Weather derivatives provide a tool for weather risk management, and the markets for these exotic financial products are gradually emerging in size and importance. This unique monograph presents a unified approach to the modeling and analysis of such weather derivatives, including financial contracts on temperature, wind and rain. Based on a deep statistical analysis of weather factors, sophisticated stochastic processes are introduced modeling the time and space dynamics. Applying ideas from the modern theory of mathematical finance, weather derivatives are priced, and questions of hedging analyzed. The treatise contains an in-depth analysis of typical weather contracts traded at the Chicago Mercantile Exchange (CME), including so-called CDD and HDD futures. The statistical analysis of weather variables is based on a large data set from Lithuania. The monograph includes the research done by the authors over the last decade on weather markets. Their work has gained considerable attention, and has been applied in many contexts.
