Weather Derivative Valuation
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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.
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 : 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.
Pricing Of Weather Derivatives
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Author : Shih-Ying Lee
language : en
Publisher:
Release Date : 2006
Pricing Of Weather Derivatives written by Shih-Ying Lee and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
Values of weather derivatives depend on weather outcomes, such as temperature or precipitation. Academics have differed on how to value this type of financial instrument, since weather is not tradeable and the No-Arbitrage Pricing Theory cannot be applied. Cao and Wei (2004) propose a valuation model and I test its predicting accuracy by comparing simulated futures prices to market prices, for cumulative Heating/Cooling Degree Day futures for New York City for contracts offered by the Chicago Mercantile Exchange. The simulation of weather futures prices requires assumptions of values for the risk aversion parameter. Following Cao and Wei, the values -2, -10 and -40 are used. The simulation requires values for the speed of mean reversion of aggregate dividends. Following Cao and Wei, the values of 0.8, 0.9 and 0.99 are used. Due to the lack of a sufficiently long time series data to determine the daily correlation between temperature and aggregate dividends, Cao and Wei assume that the aggregate dividends depend on either the contemporaneous temperature or the 30 lagged temperatures. There are consequently 18 simulation settings. Results indicate that Cao and Wei's (2004) model is useful in predicting weather derivative prices, especially when the risk aversion parameter is -10. Forecast accuracy is very sensitive to the risk aversion parameter, followed by the number of temperature lags that aggregate dividends depend on. The speed of mean reversion of aggregate dividends is not found to be a crucial parameter.
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.
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.
Weather Derivatives
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Author : Chuanhou Yang
language : en
Publisher:
Release Date : 2003
Weather Derivatives written by Chuanhou Yang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.
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
Pricing Of Asian Temperature Risk
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Author : Fred Espen Benth
language : en
Publisher:
Release Date : 2009
Pricing Of Asian Temperature Risk written by Fred Espen Benth and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
Weather derivatives (WD) are different from most financial derivatives because the underlying weather cannot be traded and therefore cannot be replicated by other financial instruments. The market price of risk (MPR) is an important parameter of the associated equivalent martingale measures used to price and hedge weather futures/options in the market. The majority of papers so far have priced non-tradable assets assuming zero MPR, but this assumption underestimates WD prices. We study the MPR structure as a time dependent object with concentration on emerging markets in Asia. We find that Asian Temperatures (Tokyo, Osaka, Beijing, Teipei) are normal in the sense that the driving stochastics are close to a Wiener Process. The regression residuals of the temperature show a clear seasonal variation and the volatility term structure of CAT temperature futures presents a modified Samuelson effect. In order to achieve normality in standardized residuals, the seasonal variation is calibrated with a combination of a fourier truncated series with a GARCH model and with a local linear regression. By calibrating model prices, we implied the MPR from Cumulative total of 24-hour average temperature futures (C24AT) for Japanese Cities, or by knowing the formal dependence of MPR on seasonal variation, we price derivatives for Kaohsiung, where weather derivative market does not exist. The findings support theoretical results of reverse relation between MPR and seasonal variation of temperature process. -- Weather derivatives ; continuous autoregressive model ; CAT ; CDD ; HDD ; risk premium