Modeling and Pricing in Financial Markets for Weather Derivatives - Couverture rigide

Livre 1 sur 6: Advanced Series on Statistical Science and Applied Probability

Benth, Fred Espen; Saltyte-benth, Jurate

 
9789814401845: Modeling and Pricing in Financial Markets for Weather Derivatives
Couverture rigide
ISBN 10 : 9814401846 ISBN 13 : 9789814401845
Editeur : World Scientific Publishing Co Pte Ltd, 2012

Synopsis

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.

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

Présentation de l'éditeur

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.

Revue de presse

The monograph will also be useful for those dealing with energy markets, agriculture, insurance and financial engineering, and will stimulate further research in this important direction. --Anatoliy Swishchuk, University of Calgary, Canada

The main core is self-contained and well written, and the reviewer finds it useful to the research in the area. --Mathematical Reviews

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
World Scientific Publishing Co Pte Ltd
Date d'édition
2012
Langue
anglais
ISBN 10 
9814401846
ISBN 13 
9789814401845
Reliure
Relié
Nombre de pages
256
Coordonnées du fabricant
non disponible
Personne responsable
gpsr@libri.de
gpsr@libri.de

Friedensallee 273
Hamburg
22763
Allemagne