Weather derivative valuation: the meteorological, statistical, financial and mathematical foundations
Originally published in 2005, Weather Derivative Valuation covers all the meteorological, statistical, financial and mathematical issues that arise in the pricing and risk management of weather derivatives. There are chapters on meteorological data and data cleaning, the modelling and pricing of sin...
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| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Cambridge
Cambridge University Press
2005
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| Subjects: | |
| Online Access: | BSB01 FHN01 UBG01 Volltext |
| Summary: | Originally published in 2005, Weather Derivative Valuation covers all the meteorological, statistical, financial and mathematical issues that arise in the pricing and risk management of weather derivatives. There are chapters on meteorological data and data cleaning, the modelling and pricing of single weather derivatives, the modelling and valuation of portfolios, the use of weather and seasonal forecasts in the pricing of weather derivatives, arbitrage pricing for weather derivatives, risk management, and the modelling of temperature, wind and precipitation. Specific issues covered in detail include the analysis of uncertainty in weather derivative pricing, time-series modelling of daily temperatures, the creation and use of probabilistic meteorological forecasts and the derivation of the weather derivative version of the Black-Scholes equation of mathematical finance. Written by consultants who work within the weather derivative industry, this book is packed with practical information and theoretical insight into the world of weather derivative pricing |
| Item Description: | Title from publisher's bibliographic system (viewed on 05 Oct 2015) |
| Physical Description: | 1 online resource (xvii, 373 pages) |
| ISBN: | 9780511493348 |
| DOI: | 10.1017/CBO9780511493348 |
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| contents | 1. Weather derivatives and the weather derivatives market -- 2. Data cleaning and trends -- 3. The valuation of single contracts using burn analysis -- 4. The valuation of single contracts using index modelling -- 5. Further topics in the valuation of single contracts -- 6. The valuation of single contracts using daily modelling -- 7. Modelling portfolios -- 8. Managing portfolios -- 9. An introduction to meteorological forecasts -- 10. The use of meteorological forecasts in pricing -- 11. Arbitrage pricing models -- 12. Risk management -- 13. Modelling non-temperature data -- A. Trend models -- B. Parameter estimation -- C. Goodness of fit tests -- D. Expected pay-offs for normally distributed indices -- E. Pay-off variances for normally distributed indices -- F. Greeks for normally distributed indices -- G. Exact solutions for the kernel density -- H. The beta for a normally distributed index -- I. Simulation methods -- J. Efficient methods for pricing against a portfolio |
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| discipline | Wirtschaftswissenschaften |
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| indexdate | 2024-07-10T07:38:51Z |
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| isbn | 9780511493348 |
| language | English |
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| spelling | Jewson, Stephen Verfasser aut Weather derivative valuation the meteorological, statistical, financial and mathematical foundations Stephen Jewson and Anders Brix, with contributions from Christine Ziehmann Cambridge Cambridge University Press 2005 1 online resource (xvii, 373 pages) txt rdacontent c rdamedia cr rdacarrier Title from publisher's bibliographic system (viewed on 05 Oct 2015) 1. Weather derivatives and the weather derivatives market -- 2. Data cleaning and trends -- 3. The valuation of single contracts using burn analysis -- 4. The valuation of single contracts using index modelling -- 5. Further topics in the valuation of single contracts -- 6. The valuation of single contracts using daily modelling -- 7. Modelling portfolios -- 8. Managing portfolios -- 9. An introduction to meteorological forecasts -- 10. The use of meteorological forecasts in pricing -- 11. Arbitrage pricing models -- 12. Risk management -- 13. Modelling non-temperature data -- A. Trend models -- B. Parameter estimation -- C. Goodness of fit tests -- D. Expected pay-offs for normally distributed indices -- E. Pay-off variances for normally distributed indices -- F. Greeks for normally distributed indices -- G. Exact solutions for the kernel density -- H. The beta for a normally distributed index -- I. Simulation methods -- J. Efficient methods for pricing against a portfolio Originally published in 2005, Weather Derivative Valuation covers all the meteorological, statistical, financial and mathematical issues that arise in the pricing and risk management of weather derivatives. There are chapters on meteorological data and data cleaning, the modelling and pricing of single weather derivatives, the modelling and valuation of portfolios, the use of weather and seasonal forecasts in the pricing of weather derivatives, arbitrage pricing for weather derivatives, risk management, and the modelling of temperature, wind and precipitation. Specific issues covered in detail include the analysis of uncertainty in weather derivative pricing, time-series modelling of daily temperatures, the creation and use of probabilistic meteorological forecasts and the derivation of the weather derivative version of the Black-Scholes equation of mathematical finance. Written by consultants who work within the weather derivative industry, this book is packed with practical information and theoretical insight into the world of weather derivative pricing Weather derivatives / Valuation Bewertung (DE-588)4006340-9 gnd rswk-swf Versicherungsmathematik (DE-588)4063194-1 gnd rswk-swf Extremwertstatistik (DE-588)4153429-3 gnd rswk-swf Wetter (DE-588)4065852-1 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Wetter (DE-588)4065852-1 s Derivat Wertpapier (DE-588)4381572-8 s Extremwertstatistik (DE-588)4153429-3 s 1\p DE-604 Versicherungsmathematik (DE-588)4063194-1 s 2\p DE-604 Bewertung (DE-588)4006340-9 s 3\p DE-604 Brix, Anders Sonstige oth Erscheint auch als Druckausgabe 978-0-521-14228-1 Erscheint auch als Druckausgabe 978-0-521-84371-3 https://doi.org/10.1017/CBO9780511493348 Verlag URL des Erstveröffentlichers Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 3\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Jewson, Stephen Weather derivative valuation the meteorological, statistical, financial and mathematical foundations 1. Weather derivatives and the weather derivatives market -- 2. Data cleaning and trends -- 3. The valuation of single contracts using burn analysis -- 4. The valuation of single contracts using index modelling -- 5. Further topics in the valuation of single contracts -- 6. The valuation of single contracts using daily modelling -- 7. Modelling portfolios -- 8. Managing portfolios -- 9. An introduction to meteorological forecasts -- 10. The use of meteorological forecasts in pricing -- 11. Arbitrage pricing models -- 12. Risk management -- 13. Modelling non-temperature data -- A. Trend models -- B. Parameter estimation -- C. Goodness of fit tests -- D. Expected pay-offs for normally distributed indices -- E. Pay-off variances for normally distributed indices -- F. Greeks for normally distributed indices -- G. Exact solutions for the kernel density -- H. The beta for a normally distributed index -- I. Simulation methods -- J. Efficient methods for pricing against a portfolio Weather derivatives / Valuation Bewertung (DE-588)4006340-9 gnd Versicherungsmathematik (DE-588)4063194-1 gnd Extremwertstatistik (DE-588)4153429-3 gnd Wetter (DE-588)4065852-1 gnd Derivat Wertpapier (DE-588)4381572-8 gnd |
| subject_GND | (DE-588)4006340-9 (DE-588)4063194-1 (DE-588)4153429-3 (DE-588)4065852-1 (DE-588)4381572-8 |
| title | Weather derivative valuation the meteorological, statistical, financial and mathematical foundations |
| title_auth | Weather derivative valuation the meteorological, statistical, financial and mathematical foundations |
| title_exact_search | Weather derivative valuation the meteorological, statistical, financial and mathematical foundations |
| title_full | Weather derivative valuation the meteorological, statistical, financial and mathematical foundations Stephen Jewson and Anders Brix, with contributions from Christine Ziehmann |
| title_fullStr | Weather derivative valuation the meteorological, statistical, financial and mathematical foundations Stephen Jewson and Anders Brix, with contributions from Christine Ziehmann |
| title_full_unstemmed | Weather derivative valuation the meteorological, statistical, financial and mathematical foundations Stephen Jewson and Anders Brix, with contributions from Christine Ziehmann |
| title_short | Weather derivative valuation |
| title_sort | weather derivative valuation the meteorological statistical financial and mathematical foundations |
| title_sub | the meteorological, statistical, financial and mathematical foundations |
| topic | Weather derivatives / Valuation Bewertung (DE-588)4006340-9 gnd Versicherungsmathematik (DE-588)4063194-1 gnd Extremwertstatistik (DE-588)4153429-3 gnd Wetter (DE-588)4065852-1 gnd Derivat Wertpapier (DE-588)4381572-8 gnd |
| topic_facet | Weather derivatives / Valuation Bewertung Versicherungsmathematik Extremwertstatistik Wetter Derivat Wertpapier |
| url | https://doi.org/10.1017/CBO9780511493348 |
| work_keys_str_mv | AT jewsonstephen weatherderivativevaluationthemeteorologicalstatisticalfinancialandmathematicalfoundations AT brixanders weatherderivativevaluationthemeteorologicalstatisticalfinancialandmathematicalfoundations |