| Description |
xvii, 373 pages : illustrations ; 25 cm |
| 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 |
| Summary |
"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 |
| Notes |
Title from e-book title screen (viewed October 16, 2007) |
| Bibliography |
Includes bibliographical references (pages 360-368) and index |
| Subject |
Weather derivatives -- Valuation.
|
| Author |
Brix, Anders.
|
|
MyiLibrary.
|
| LC no. |
2004054200 |
| ISBN |
0521843715 hb alkaline paper |
|
