Weather Derivative Valuation

The Meteorological, Statistical, Financial and Mathematical Foundations

Stephen Jewson, Anders Brix

374 pages, parution le 04/04/2005

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Résumé

Weather Derivative Valuation is the first book to cover 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.

L'auteur - Stephen Jewson

Stephen Jewson works for a financial consultancy where he manages a group that produces commercial software and meteorological data for the weather derivative industry. He has published a large number of articles in the fields of fundamental climate research, applied meteorology and weather derivatives.

L'auteur - Anders Brix

Anders Brix works for a financial software and consultancy company where he runs a group with responsibility for researching and implementing stochastic models for natural catastrophes and weather risk. He has carried out research in probability and statistics, and has applied statistical modelling to a wide variety of fields including weather, insurance, weed science and medical research.

Sommaire

List of Figures
List of Tables
Acknowledgments
Weather derivatives and the weather derivatives market
Data cleaning and trends
The valuation of single contracts using burn
The valuation of single contracts using index modelling
Further topics in the valuation of single contracts
Valuation of single contracts using daily methods
Modelling portfolios
Managing portfolios
An introduction to meteorological forecasts
The use of meteorological forecasts in pricing
Arbitrage pricing models
Risk management
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 variances
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
References
Index

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Cambridge University Press
Auteur(s)	Stephen Jewson, Anders Brix
Parution	04/04/2005
Nb. de pages	374
Format	18 x 25
Couverture	Relié
Poids	922g
Intérieur	Noir et Blanc
EAN13	9780521843713
ISBN13	978-0-521-84371-3