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 con...
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1. Verfasser: | |
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Format: | Elektronisch E-Book |
Sprache: | English |
Veröffentlicht: |
Singapore ; New Jersey :
World Scientific,
2013.
|
Schriftenreihe: | Advanced series on statistical science & applied probability ;
v. 17. |
Schlagworte: | |
Online-Zugang: | Volltext |
Zusammenfassung: | "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 resource (xi, 242 pages) : illustrations. |
Bibliographie: | Includes bibliographical references and index. |
ISBN: | 9789814401852 9814401854 9781283850780 1283850788 |
Internformat
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245 | 1 | 0 | |a Modeling and pricing in financial markets for weather derivatives / |c Fred Espen Benth, Jūrate Šaltytė Benth. |
260 | |a Singapore ; |a New Jersey : |b World Scientific, |c 2013. | ||
300 | |a 1 online resource (xi, 242 pages) : |b illustrations. | ||
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490 | 1 | |a Advanced series on statistical science & applied probability ; |v vol. 17 | |
504 | |a Includes bibliographical references and index. | ||
505 | 0 | |a 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. | |
520 | |a "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. | ||
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author | Benth, Fred Espen, 1969- |
author2 | Saltyte Benth, Jurate |
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author_facet | Benth, Fred Espen, 1969- Saltyte Benth, Jurate |
author_role | |
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building | Verbundindex |
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collection | ZDB-4-EBA |
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. |
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id | ZDB-4-EBA-ocn821180509 |
illustrated | Illustrated |
indexdate | 2024-11-27T13:25:05Z |
institution | BVB |
isbn | 9789814401852 9814401854 9781283850780 1283850788 |
language | English |
oclc_num | 821180509 |
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physical | 1 online resource (xi, 242 pages) : illustrations. |
psigel | ZDB-4-EBA |
publishDate | 2013 |
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spelling | Benth, Fred Espen, 1969- https://id.oclc.org/worldcat/entity/E39PBJrRgr6rGdmwqQ7yfBRBT3 http://id.loc.gov/authorities/names/n2003016595 Modeling and pricing in financial markets for weather derivatives / Fred Espen Benth, Jūrate Šaltytė Benth. Singapore ; New Jersey : World Scientific, 2013. 1 online resource (xi, 242 pages) : illustrations. text txt rdacontent computer c rdamedia online resource cr rdacarrier Advanced series on statistical science & applied probability ; vol. 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. Print version record. Weather derivatives. http://id.loc.gov/authorities/subjects/sh2004005511 Stocks Prices. http://id.loc.gov/authorities/subjects/sh85128230 Dérivés climatiques. Actions (Titres de société) Prix. BUSINESS & ECONOMICS Investments & Securities General. bisacsh Stocks Prices fast Weather derivatives fast Saltyte Benth, Jurate. http://id.loc.gov/authorities/names/n2008004460 Print version: Benth, Fred Espen, 1969- Modeling and pricing in financial markets for weather derivatives 9789814401845 (DLC) 2012026661 (OCoLC)785872356 Advanced series on statistical science & applied probability ; v. 17. http://id.loc.gov/authorities/names/n97121977 FWS01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=504178 Volltext |
spellingShingle | Benth, Fred Espen, 1969- Modeling and pricing in financial markets for weather derivatives / Advanced series on statistical science & applied probability ; 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. http://id.loc.gov/authorities/subjects/sh2004005511 Stocks Prices. http://id.loc.gov/authorities/subjects/sh85128230 Dérivés climatiques. Actions (Titres de société) Prix. BUSINESS & ECONOMICS Investments & Securities General. bisacsh Stocks Prices fast Weather derivatives fast |
subject_GND | http://id.loc.gov/authorities/subjects/sh2004005511 http://id.loc.gov/authorities/subjects/sh85128230 |
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 | Weather derivatives. http://id.loc.gov/authorities/subjects/sh2004005511 Stocks Prices. http://id.loc.gov/authorities/subjects/sh85128230 Dérivés climatiques. Actions (Titres de société) Prix. BUSINESS & ECONOMICS Investments & Securities General. bisacsh Stocks Prices fast Weather derivatives fast |
topic_facet | Weather derivatives. Stocks Prices. Dérivés climatiques. Actions (Titres de société) Prix. BUSINESS & ECONOMICS Investments & Securities General. Stocks Prices Weather derivatives |
url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=504178 |
work_keys_str_mv | AT benthfredespen modelingandpricinginfinancialmarketsforweatherderivatives AT saltytebenthjurate modelingandpricinginfinancialmarketsforweatherderivatives |