Pricing Of Weather Derivatives
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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.
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 Derivative Valuation
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Author : Stephen Jewson
language : en
Publisher: Cambridge University Press
Release Date : 2005-03-10
Weather Derivative Valuation written by Stephen Jewson 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 2005-03-10 with Business & Economics categories.
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.
The Pricing Of Weather Derivatives Including Meteorological Forecasts
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Author : Elena Parmigiani
language : en
Publisher: GRIN Verlag
Release Date : 2014-02-24
The Pricing Of Weather Derivatives Including Meteorological Forecasts written by Elena Parmigiani and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-02-24 with Business & Economics categories.
Bachelor Thesis from the year 2013 in the subject Business economics - Investment and Finance, grade: 4/4, , language: English, abstract: 1. Abstract This paper analyses weather derivatives and the issue of pricing these financial instruments. The non-tradability of the underlying makes their pricing not straightforward and even if the Chicago Mercantile Exchange began trading the first weather contract in 1999, the market still witnesses very low volumes and is relatively illiquid. This theoretical analysis is focused on instruments whose underlying is temperature, since they are the most traded. Due to the assumption of informational efficient markets, all available information should theoretically be included in the prices. However most existing models focus only on historical observations of temperature, actually excluding some relevant information. The few models that have instead considered weather forecasts are analysed, and in particular the model introduced by Ritter, Musshoff, and Odening to price temperature monthly futures including weather forecasts is described in details. I’ve performed an analysis applying a simplified version of the model described, based on temperature data from Tampa, Florida, in 2007. The results show that models with meteorological forecasts indeed outperform models that ignore them.
Weather Derivative Valuation
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Author : Stephen Jewson
language : en
Publisher:
Release Date : 2005
Weather Derivative Valuation written by Stephen Jewson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Weather derivatives categories.
Weather Derivatives
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Author : Maximilian Wimmer
language : en
Publisher:
Release Date : 2010
Weather Derivatives written by Maximilian Wimmer and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
Dynamic Valuation Of Weather Derivatives Under Default Risk
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Author : Wolfgang K. Härdle
language : en
Publisher:
Release Date : 2017
Dynamic Valuation Of Weather Derivatives Under Default Risk written by Wolfgang K. Härdle and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
Insurance And Weather Derivatives
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Author : Hélyette Geman
language : en
Publisher: Risk Books
Release Date : 1999
Insurance And Weather Derivatives written by Hélyette Geman and has been published by Risk Books this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Business & Economics categories.
A unique and diverse resource on the developing theory and practice of pricing and managing insurance derivatives, insurance-risk securitisation and weather derivatives.
Pricing Chinese Rain
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Author : Wolfgang Härdle
language : en
Publisher:
Release Date : 2011
Pricing Chinese Rain written by Wolfgang Härdle and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
Many industries are exposed to weather risk which they can transfer on financial markets via weather derivatives. Equilibrium models based on partial market clearing became a useful tool for pricing such kind of financial instruments. In a multi-period equilibrium pricing model agents rebalance their portfolio of weather bonds and a risk free asset in each period such that they maximize the expected utility of their incomes constituted by possibly weather dependent profits and payoffs of portfolio positions. We extend the model to a multisite version and apply it to pricing rainfall derivatives for Chinese provinces. By simulating realistic market conditions with two agent types, farmers with profits highly exposed to weather risk and a financial investor diversifying her financial portfolio, we obtain equilibrium prices for weather derivatives on cumulative monthly rainfall. Dynamic portfolio optimization under market clearing and utility indifference of these representative agents determines equilibrium quantity and price for rainfall derivatives. -- rainfall derivatives ; equilibrium pricing ; space-time Markov model
Using Weather Derivatives To Manage Financial Risk In Deregulated Electricity Markets
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Author : Shiyong Yoo
language : en
Publisher:
Release Date : 2004
Using Weather Derivatives To Manage Financial Risk In Deregulated Electricity Markets written by Shiyong Yoo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.