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Weather derivative valuation : the meteorological, statistical, financial and mathematical foundations / Stephen Jewson and Anders Brix, with contributions from Christine Ziehmann.

By: Contributor(s): Material type: TextTextPublisher: Cambridge ; New York : Cambridge University Press, 2005Description: xvii, 373 pages : illustrations ; 25 cmContent type:
  • text
Media type:
  • unmediated
Carrier type:
  • volume
ISBN:
  • 0521843715
  • 9780521843713
Subject(s): DDC classification:
  • 332.6457 22
LOC classification:
  • HG6052 .J49 2005
Online resources:
Contents:
1. Weather derivatives and the weather derivatives market -- 2. Data cleaning and trends -- 3. The valuation of single contracts using burn analysis -- 4. The valuation of single contracts using index modelling -- 5. Further topics in the valuation of single contracts -- 6. The valuation of single contracts using daily modelling -- 7. Modelling portfolios -- 8. Managing portfolios -- 9. An introduction to meteorological forecasts -- 10. The use of meteorological forecasts in pricing -- 11. Arbitrage pricing models -- 12. Risk management -- 13. 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 indices -- 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.
Review: "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. 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."--BOOK JACKET.
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Holdings
Item type Current library Call number Copy number Status Date due Barcode
Book City Campus City Campus Main Collection 332.6457 JEW (Browse shelf(Opens below)) 1 Available A291853B

Includes bibliographical references (pages 360-368) and index.

1. Weather derivatives and the weather derivatives market -- 2. Data cleaning and trends -- 3. The valuation of single contracts using burn analysis -- 4. The valuation of single contracts using index modelling -- 5. Further topics in the valuation of single contracts -- 6. The valuation of single contracts using daily modelling -- 7. Modelling portfolios -- 8. Managing portfolios -- 9. An introduction to meteorological forecasts -- 10. The use of meteorological forecasts in pricing -- 11. Arbitrage pricing models -- 12. Risk management -- 13. 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 indices -- 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.

"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. 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."--BOOK JACKET.

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