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Modeling and pricing in financial markets for weather derivatives

Author: Fred Espen Benth; Jurate Saltyte Benth
Publisher: Singapore ; New Jersey : World Scientific, 2013.
Series: Advanced series on statistical science & applied probability, v. 17.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
"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  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Benth, Fred Espen, 1969-
Modeling and pricing in financial markets for weather derivatives
(DLC) 2012026661
(OCoLC)785872356
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Fred Espen Benth; Jurate Saltyte Benth
ISBN: 9789814401852 9814401854 9781283850780 1283850788
OCLC Number: 821180509
Description: 1 online resource (xi, 242 pages) : illustrations.
Contents: Preface --
Financial markets for weather --
Data description and exploratory analysis --
Spatial-temporal modelling --
Continuous-time models of temperature and wind speed --
Pricing of forward contracts on temperature and wind speed --
Extensions of temperature and wind speed models --
Options on temperature and wind --
Precipitation derivatives --
Utility-based approaches to pricing weather derivatives --
Appendix a list of abbreviations.
Series Title: Advanced series on statistical science & applied probability, v. 17.
Responsibility: Fred Espen Benth, Jūrate Šaltytė Benth.

Abstract:

Provides a tool for weather risk management and the markets for these exotic financial products are gradually emerging in size and importance. This title presents an analysis of such weather  Read more...

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