Modeling and pricing in financial markets for weather derivatives [electronic resource] / Fred Espen Benth, Jūrate Šaltytė Benth.

ISBN:

9789814401852

9781283850780

Title:

Modeling and pricing in financial markets for weather derivatives [electronic resource] / Fred Espen Benth, Jūrate Šaltytė Benth.

Author:

Benth, Fred Espen, 1969-

Personal Author:

Benth, Fred Espen, 1969-

Publication Information:

Singapore ; New Jersey : World Scientific, 2013.

Physical Description:

1 online resource (xi, 242 pages) : illustrations.

Series:

Advanced series on statistical science & applied probability ; vol. 17

Contents:

Preface -- Financial markets for weather -- Data description and exploratory analysis -- Spatial-temporal modelling -- Continuous-time models of temperature and wind speed -- Pricing of forward contracts on temperature and wind speed -- Extensions of temperature and wind speed models -- Options on temperature and wind -- Precipitation derivatives -- Utility-based approaches to pricing weather derivatives -- Appendix a list of abbreviations.

Local Note:

eBooks on EBSCOhost

Subject Term:

Weather derivatives.

Stocks -- Prices.

Added Author:

Saltyte Benth, Jurate.

Format:

Electronic Resources

Electronic Access:

Click here to view

Publication Date:

2013

2012

Publication Information:

Singapore ; New Jersey : World Scientific, 2013.

Available:*

Shelf Number	Material Type	Copy	Shelf Location	Status
332.6457	1:E-BOOK	1	1:ONLINE	Searching... Unknown

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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.