Modeling and pricing in financial markets for weather derivatives:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
New Jersey [u.a.]
World Scientific
2013
|
| Schriftenreihe: | Advanced series on statistical science & applied probability
17 |
| Schlagworte: | |
| Online-Zugang: | FLA01 Volltext |
| Beschreibung: | Includes bibliographical references and index 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 "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 |
| Beschreibung: | 1 Online-Ressource (xi, 242 p.) graph. Darst. |
| ISBN: | 9789814401852 9814401854 9781283850780 1283850788 |
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Datensatz im Suchindex
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| any_adam_object | |
| author | Benth, Fred Espen |
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| dewey-ones | 332 - Financial economics |
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| dewey-search | 332.6457 |
| dewey-sort | 3332.6457 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | DE-604.BV041051998 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T00:38:33Z |
| institution | BVB |
| isbn | 9789814401852 9814401854 9781283850780 1283850788 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-026029246 |
| oclc_num | 821180509 |
| open_access_boolean | |
| owner | DE-91 DE-BY-TUM DE-1046 DE-1047 |
| owner_facet | DE-91 DE-BY-TUM DE-1046 DE-1047 |
| physical | 1 Online-Ressource (xi, 242 p.) graph. Darst. |
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| publishDate | 2013 |
| publishDateSearch | 2013 |
| publishDateSort | 2013 |
| publisher | World Scientific |
| record_format | marc |
| series | Advanced series on statistical science & applied probability |
| series2 | Advanced series on statistical science & applied probability |
| spelling | Benth, Fred Espen Verfasser (DE-588)171901983 aut Modeling and pricing in financial markets for weather derivatives Fred Espen Benth ; Jūrate Šaltytė Benth New Jersey [u.a.] World Scientific 2013 1 Online-Ressource (xi, 242 p.) graph. Darst. txt rdacontent c rdamedia cr rdacarrier Advanced series on statistical science & applied probability 17 Includes bibliographical references and index 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 "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 BUSINESS & ECONOMICS / Investments & Securities / General bisacsh Wirtschaft Weather derivatives Stocks / Prices Preisbildung (DE-588)4047103-2 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Wetter (DE-588)4065852-1 gnd rswk-swf Electronic books Wetter (DE-588)4065852-1 s Derivat Wertpapier (DE-588)4381572-8 s Preisbildung (DE-588)4047103-2 s DE-604 Saltyte Benth, Jurate Sonstige (DE-588)137396937 oth Erscheint auch als Druck-Ausgabe, Hardcover 978-981-4401-84-5 Erscheint auch als Druck-Ausgabe, Hardcover 981-4401-84-6 Advanced series on statistical science & applied probability 17 (DE-604)BV011932321 17 http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=504178 Verlag Volltext |
| spellingShingle | Benth, Fred Espen Modeling and pricing in financial markets for weather derivatives Advanced series on statistical science & applied probability BUSINESS & ECONOMICS / Investments & Securities / General bisacsh Wirtschaft Weather derivatives Stocks / Prices Preisbildung (DE-588)4047103-2 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Wetter (DE-588)4065852-1 gnd |
| subject_GND | (DE-588)4047103-2 (DE-588)4381572-8 (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 ; Jūrate Šaltytė Benth |
| title_fullStr | Modeling and pricing in financial markets for weather derivatives Fred Espen Benth ; Jūrate Šaltytė Benth |
| title_full_unstemmed | Modeling and pricing in financial markets for weather derivatives Fred Espen Benth ; Jūrate Šaltytė Benth |
| title_short | Modeling and pricing in financial markets for weather derivatives |
| title_sort | modeling and pricing in financial markets for weather derivatives |
| topic | BUSINESS & ECONOMICS / Investments & Securities / General bisacsh Wirtschaft Weather derivatives Stocks / Prices Preisbildung (DE-588)4047103-2 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Wetter (DE-588)4065852-1 gnd |
| topic_facet | BUSINESS & ECONOMICS / Investments & Securities / General Wirtschaft Weather derivatives Stocks / Prices Preisbildung Derivat Wertpapier Wetter |
| url | http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=504178 |
| volume_link | (DE-604)BV011932321 |
| work_keys_str_mv | AT benthfredespen modelingandpricinginfinancialmarketsforweatherderivatives AT saltytebenthjurate modelingandpricinginfinancialmarketsforweatherderivatives |