Modeling And Pricing In Financial Markets For Weather Derivatives

Name: Modeling And Pricing In Financial Markets For Weather Derivatives
SKU: 19841534
Price: 241.99 AUD
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Hardback

Series:

Advanced Series on Statistical Science and Applied Probability

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Description

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 is 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.

Release date Australia

December 4th, 2012

Author

Audience

Postgraduate, Research & Scholarly

Pages

256

Series

Advanced Series on Statistical Science and Applied Probability

Dimensions

155x229x15

ISBN-13

9789814401845

Product ID

19841534

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