Modeling and Pricing in Financial Markets for Weather Derivatives

Modeling and Pricing in Financial Markets for Weather Derivatives

eBook - 2013
Rate this:
"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"--Provided by publisher.
Publisher: Singapore ; New Jersey : World Scientific, 2013
ISBN: 9781283850780
1283850788
9789814401852
9814401854
Characteristics: 1 online resource (xi, 242 pages) : illustrations
Additional Contributors: Saltyte Benth, Jurate

Opinion

From the critics


Community Activity

Comment

Add a Comment

There are no comments for this title yet.

Age Suitability

Add Age Suitability

There are no age suitabilities for this title yet.

Summary

Add a Summary

There are no summaries for this title yet.

Notices

Add Notices

There are no notices for this title yet.

Quotes

Add a Quote

There are no quotes for this title yet.

Explore Further

Subject Headings

  Loading...

Find it at PPL

  Loading...
[]
[]
To Top