Modeling And Pricing In Financial Markets For Weather Derivatives
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Modeling And Pricing In Financial Markets For Weather Derivatives
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Author : Fred Espen Benth
language : en
Publisher: World Scientific
Release Date : 2013
Modeling And Pricing In Financial Markets For Weather Derivatives written by Fred Espen Benth and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Business & Economics categories.
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 are 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
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Author : Antonis Alexandridis K.
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-11-30
Weather Derivatives written by Antonis Alexandridis K. and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-11-30 with Business & Economics categories.
Weather derivatives are financial instruments that can be used by organizations or individuals as part of a risk management strategy to minimize risk associated with adverse or unexpected weather conditions. Just as traditional contingent claims, a weather derivative has an underlying measure, such as: rainfall, wind, snow or temperature. Nearly $1 trillion of the U.S. economy is directly exposed to weather-related risk. More precisely, almost 30% of the U.S. economy and 70% of U.S. companies are affected by weather. The purpose of this monograph is to conduct an in-depth analysis of financial products that are traded in the weather market. Presenting a pricing and modeling approach for weather derivatives written on various underlying weather variables will help students, researchers, and industry professionals accurately price weather derivatives, and will provide strategies for effectively hedging against weather-related risk. This book will link the mathematical aspects of the modeling procedure of weather variables to the financial markets and the pricing of weather derivatives. Very little has been published in the area of weather risk, and this volume will appeal to graduate-level students and researchers studying financial mathematics, risk management, or energy finance, in addition to investors and professionals within the financial services industry.
Commodities And Commodity Derivatives
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Author : Helyette Geman
language : en
Publisher: John Wiley & Sons
Release Date : 2009-09-24
Commodities And Commodity Derivatives written by Helyette Geman and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-09-24 with Business & Economics categories.
The last few years have been a watershed for the commodities, cash and derivatives industry. New regulations and products have led to an explosion in the commodities markets, creating a new asset for investors that includes hedge funds as well as University endowments, and has resulted in a spectacular growth in spot and derivative trading. This book covers hard and soft commodities (energy, agriculture and metals) and analyses: Economic and geopolitical issues in commodities markets Commodity price and volume risk Stochastic modelling of commodity spot prices and forward curves Real options valuation and hedging of physical assets in the energy industry It is required reading for energy companies and utilities practitioners, commodity cash and derivatives traders in investment banks, the Agrifood business, Commodity Trading Advisors (CTAs) and Hedge Funds. In Commodities and Commodity Derivatives, Hélyette Geman shows her powerful command of the subject by combining a rigorous development of its mathematical modelling with a compact institutional presentation of the arcane characteristics of commodities that makes the complex analysis of commodities derivative securities accessible to both the academic and practitioner who wants a deep foundation and a breadth of different market applications. It is destined to be a "must have" on the subject.” —Robert Merton, Professor, Harvard Business School "A marvelously comprehensive book of interest to academics and practitioners alike, by one of the world's foremost experts in the field." —Oldrich Vasicek, founder, KMV
Stochastic Modelling Of Electricity And Related Markets
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Author : Fred Espen Benth
language : en
Publisher: World Scientific
Release Date : 2008
Stochastic Modelling Of Electricity And Related Markets written by Fred Espen Benth and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Business & Economics categories.
The markets for electricity, gas and temperature have distinctive features, which provide the focus for countless studies. For instance, electricity and gas prices may soar several magnitudes above their normal levels within a short time due to imbalances in supply and demand, yielding what is known as spikes in the spot prices. The markets are also largely influenced by seasons, since power demand for heating and cooling varies over the year. The incompleteness of the markets, due to nonstorability of electricity and temperature as well as limited storage capacity of gas, makes spot-forward hedging impossible. Moreover, futures contracts are typically settled over a time period rather than at a fixed date. All these aspects of the markets create new challenges when analyzing price dynamics of spot, futures and other derivatives.This book provides a concise and rigorous treatment on the stochastic modeling of energy markets. Ornstein?Uhlenbeck processes are described as the basic modeling tool for spot price dynamics, where innovations are driven by time-inhomogeneous jump processes. Temperature futures are studied based on a continuous higher-order autoregressive model for the temperature dynamics. The theory presented here pays special attention to the seasonality of volatility and the Samuelson effect. Empirical studies using data from electricity, temperature and gas markets are given to link theory to practice.
Quantitative Analysis In Financial Markets
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Author : Marco Avellaneda
language : en
Publisher: World Scientific
Release Date : 1999
Quantitative Analysis In Financial Markets written by Marco Avellaneda and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Mathematics categories.
Contains lectures presented at the Courant Institute's Mathematical Finance Seminar.
Market Practice In Financial Modelling
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Author : Chia Chiang Tan
language : en
Publisher: World Scientific Publishing Company
Release Date : 2012-07-11
Market Practice In Financial Modelling written by Chia Chiang Tan and has been published by World Scientific Publishing Company this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-07-11 with Business & Economics categories.
Written to bridge the gap between foundational quantitative finance and market practice, this book goes beyond the basics covered in most textbooks by presenting content concerning actual industry norms, thus resulting in a clearer picture of the field for the readers. These include, for instance, the practitioner's perspective of how local versus stochastic volatility affects forward smile, or the implications of mean reversion on forward volatility.Key considerations for modelling in rates, equities and foreign exchange are presented from the perspective of common themes across various assets, as well as their individual characteristics.The discussion on models emphasizes the key aspects that are relevant to the pricing of different types of financial derivatives, so that the reader can observe how an appropriate choice of models is essential in reflecting the risk profile and hedging considerations for different products.With the knowledge gleaned from this book, readers will attain a more comprehensive understanding of market practice in derivatives modelling.
Commodity Option Pricing
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Author : Iain J. Clark
language : en
Publisher: John Wiley & Sons
Release Date : 2014-03-05
Commodity Option Pricing written by Iain J. Clark and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-03-05 with Business & Economics categories.
Commodity Option Pricing: A Practitioner’s Guide covers commodity option pricing for quantitative analysts, traders or structurers in banks, hedge funds and commodity trading companies. Based on the author’s industry experience with commodity derivatives, this book provides a thorough and mathematical introduction to the various market conventions and models used in commodity option pricing. It introduces the various derivative products typically traded for commodities and describes how these models can be calibrated and used for pricing and risk management. This book has been developed with input from traders and features examples using real-world data, together with relevant up-to-date academic research. This book includes practical descriptions of market conventions and quote codes used in commodity markets alongside typical products seen in broker quotes and used in calibration. Also discussed are commodity models and their mathematical derivation and volatility surface modelling for traded commodity derivatives. Gold, silver and other precious metals are addressed, including gold forward and gold lease rates, as well as copper, aluminium and other base metals, crude oil and natural gas, refined energy and electricity. There are also sections on the products encountered in commodities such as crack spread and spark spread options and alternative commodities such as carbon emissions, weather derivatives, bandwidth and telecommunications trading, plastics and freight. Commodity Option Pricing is ideal for anyone working in commodities or aiming to make the transition into the area, as well as academics needing to familiarize themselves with the industry conventions of the commodity markets.
The Science Of Financial Market Trading
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Author : Don K Mak
language : en
Publisher: World Scientific
Release Date : 2003-03-19
The Science Of Financial Market Trading written by Don K Mak and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-03-19 with Business & Economics categories.
In this book, Dr Mak views the financial market from a scientific perspective. The book attempts to provide a realistic description of what the market is, and how future research should be developed. The market is a complex phenomenon, and can be forecasted only with errors — if that particular market can be forecasted at all.The book reviews the scientific literatures on the financial market and describes mathematical procedures which demonstrate that some markets are non-random. How the markets are modeled — phenomenologically and from first principle — is explained.It discusses indicators, which are quite objective, rather than price patterns, which are rather subjective. Similarities between indicators in market trading and operators in mathematics are noted, and particularly, between oscillator indicators and derivatives in Calculus. It illustrates why some indicators, e.g., Stochastics, have limited usage. Several new indicators are designed and tested on theoretical waveforms to check their validity and applicability. The indicators have a minimal time lag, which is significant for trading purposes. Common market behaviors like divergences between price and momentum are explained. A skipped convolution technique is introduced to allow traders to pick up market movements at an earlier time. The market is treated as a nonlinear phenomenon. Forecasting of when the market is going to turn is emphasized.
Derivatives In Financial Markets With Stochastic Volatility
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Author : Jean-Pierre Fouque
language : en
Publisher: Cambridge University Press
Release Date : 2000-07-03
Derivatives In Financial Markets With Stochastic Volatility written by Jean-Pierre Fouque and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-07-03 with Business & Economics categories.
This book, first published in 2000, addresses pricing and hedging derivative securities in uncertain and changing market volatility.