Modeling and pricing in financial markets for weather derivatives:
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...
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| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Singapore
World Scientific Pub. Co.
c2013
|
| Series: | Advanced series on statistical science & applied probability
v. 17 |
| Subjects: | |
| Links: | http://www.worldscientific.com/worldscibooks/10.1142/8457#t=toc http://www.worldscientific.com/worldscibooks/10.1142/8457#t=toc |
| Summary: | 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 |
| Physical Description: | xi, 242 p. ill |
| ISBN: | 9789814401852 |
Staff View
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| id | DE-604.BV044638908 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T18:07:44Z |
| institution | BVB |
| isbn | 9789814401852 |
| language | English |
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| spelling | Benth, Fred Espen 1969– Verfasser aut Modeling and pricing in financial markets for weather derivatives Fred Espen Benth, Jurate Saltyte Benth Singapore World Scientific Pub. Co. c2013 xi, 242 p. ill txt rdacontent c rdamedia cr rdacarrier Advanced series on statistical science & applied probability v. 17 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 Weather derivatives Stocks / Prices Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Preisbildung (DE-588)4047103-2 gnd rswk-swf Wetter (DE-588)4065852-1 gnd rswk-swf Wetter (DE-588)4065852-1 s Derivat Wertpapier (DE-588)4381572-8 s Preisbildung (DE-588)4047103-2 s 1\p DE-604 Saltyte Benth, Jurate Sonstige oth Erscheint auch als Druck-Ausgabe 9789814401845 (hbk.) http://www.worldscientific.com/worldscibooks/10.1142/8457#t=toc Verlag URL des Erstveroeffentlichers Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Benth, Fred Espen 1969– Modeling and pricing in financial markets for weather derivatives Weather derivatives Stocks / Prices Derivat Wertpapier (DE-588)4381572-8 gnd Preisbildung (DE-588)4047103-2 gnd Wetter (DE-588)4065852-1 gnd |
| subject_GND | (DE-588)4381572-8 (DE-588)4047103-2 (DE-588)4065852-1 |
| title | Modeling and pricing in financial markets for weather derivatives |
| title_auth | Modeling and pricing in financial markets for weather derivatives |
| title_exact_search | Modeling and pricing in financial markets for weather derivatives |
| title_full | Modeling and pricing in financial markets for weather derivatives Fred Espen Benth, Jurate Saltyte Benth |
| title_fullStr | Modeling and pricing in financial markets for weather derivatives Fred Espen Benth, Jurate Saltyte Benth |
| title_full_unstemmed | Modeling and pricing in financial markets for weather derivatives Fred Espen Benth, Jurate Saltyte Benth |
| title_short | Modeling and pricing in financial markets for weather derivatives |
| title_sort | modeling and pricing in financial markets for weather derivatives |
| topic | Weather derivatives Stocks / Prices Derivat Wertpapier (DE-588)4381572-8 gnd Preisbildung (DE-588)4047103-2 gnd Wetter (DE-588)4065852-1 gnd |
| topic_facet | Weather derivatives Stocks / Prices Derivat Wertpapier Preisbildung Wetter |
| url | http://www.worldscientific.com/worldscibooks/10.1142/8457#t=toc |
| work_keys_str_mv | AT benthfredespen modelingandpricinginfinancialmarketsforweatherderivatives AT saltytebenthjurate modelingandpricinginfinancialmarketsforweatherderivatives |