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Challenging the Oldest Risk on Earth: A non-structural time-series approach to quantify weather risk - Couverture souple

Gebhardt, Paul

 
9783843391948: Challenging the Oldest Risk on Earth: A non-structural time-series approach to quantify weather risk
Couverture souple
ISBN 10 : 3843391947 ISBN 13 : 9783843391948
Editeur : LAP LAMBERT Academic Publishing, 2011

Synopsis

The main objective of this research is to price temperature-related weather derivatves independent of location and payoff structure. We use historical weather data to make distributional forecasts for 10 different weather locations in Germany. Error terms of our forecasts are bootstraped from the empricial distribution to incorporate the non- normality of weather surprises. Explicit pricing dynamics of our model are analysed, along with a discussion on indifference pricing.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2011
Langue
anglais
ISBN 10 
3843391947
ISBN 13 
9783843391948
Reliure
Broché
Nombre de pages
60
Coordonnées du fabricant
non disponible
Personne responsable
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