Weather Derivative Valuation
The Meteorological, Statistical, Financial and Mathematical Foundations
(Sprache: Englisch)
This book, first published in 2005, covers meteorological, statistical, financial and mathematical issues arising in the pricing and risk management of weather derivatives.
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Produktinformationen zu „Weather Derivative Valuation “
This book, first published in 2005, covers meteorological, statistical, financial and mathematical issues arising in the pricing and risk management of weather derivatives.
Klappentext zu „Weather Derivative Valuation “
Originally published in 2005, Weather Derivative Valuation covers all the meteorological, statistical, financial and mathematical issues that arise in the pricing and risk management of weather derivatives. There are chapters on meteorological data and data cleaning, the modelling and pricing of single weather derivatives, the modelling and valuation of portfolios, the use of weather and seasonal forecasts in the pricing of weather derivatives, arbitrage pricing for weather derivatives, risk management, and the modelling of temperature, wind and precipitation. Specific issues covered in detail include the analysis of uncertainty in weather derivative pricing, time-series modelling of daily temperatures, the creation and use of probabilistic meteorological forecasts and the derivation of the weather derivative version of the Black-Scholes equation of mathematical finance. Written by consultants who work within the weather derivative industry, this book is packed with practical information and theoretical insight into the world of weather derivative pricing.
Inhaltsverzeichnis zu „Weather Derivative Valuation “
List of figures; List of tables; Acknowledgements; 1. Weather derivatives and the weather derivatives market; 2. Data cleaning and trends; 3. The valuation of single contracts using burn analysis; 4. The valuation of single contracts using index modelling; 5. Further topics in the valuation of single contracts; 6. Valuation of single contracts using daily methods; 7. Modelling portfolios; 8. Managing portfolios; 9. Introduction to meteorological forecasts; 10. The use of meteorological forecasts in pricing; 11. Arbitrage pricing models; 12. Risk management; 13. Modelling non-temperature data; Appendices; References; Index.
Bibliographische Angaben
- Autoren: Stephen Jewson , Anders Brix
- 2005, 392 Seiten, 85 Abbildungen, Maße: 24,4 cm, Gebunden, Englisch
- With contributions by Christine Ziehmann
- Verlag: Cambridge University Press
- ISBN-10: 0521843715
- ISBN-13: 9780521843713
Sprache:
Englisch
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