Limit search to available items
Book Cover
E-book
Author Benth, Fred Espen, 1969-

Title Modeling and pricing in financial merkets for weather derivatives / Fred Espen Benth, Jūrate Šaltytė Benth
Published Singapore : World Scientific, [2013]
©2013
Online access available from:
World Scientific    View Resource Record  

Copies

Description 1 online resource
Series Advanced series on statistical science & applied probability ; vol. 17
Advanced series on statistical science & applied probability ; v. 17
Contents 1. Financial markets for weather. 1.1. The use of weather derivatives. 1.2. Markets for weather derivatives. 1.3. A brief outlook of the monograph -- 2. Data description and exploratory analysis. 2.1. Data. 2.2. Temperature. 2.3. Wind. 2.4. Precipitation. 2.5. Spatial statistics and spatial-temporal modelling. 2.6. Stochastic weather modelling -- literature overview -- 3. Spatial-temporal modelling. 3.1. The modelling approach. 3.2. Spatial-temporal model for temperature and wind speed. 3.3. Temporal modelling of precipitation -- 4. Continuous-time models for temperature and wind speed. 4.1. CARMA models. 4.2. Simulation of CARMA processes. 4.3. Linking CARMA to ARMA. 4.4. Recovering the states I: the Kalman filter. 4.5. Recovering the states II: an approxmative L[symbol]-filter. 4.6. CARMA models for temperature and wind speed. 4.7. Speed of reversion to the mean: the half-life -- 5. Pricing of forward contracts on temperature and wind speed. 5.1. Theory on pricing forwards. 5.2. A structure preserving class of measure changes. 5.3. Pricing temperature forwards. 5.4. Analysis of temperature futures prices. 5.5. Pricing wind speed forwards -- 6. Extensions of temperature and wind speed models. 6.1. Stochastic temperature volatility. 6.2. Brownian semistationary processes. 6.3. Fractional models -- 7. Options on temperature and wind. 7.1. Options on temperature futures. 7.2. Options on wind speed futures. 7.3. Geographical hedging -- 8. Precipitation derivatives. 8.1. A continuous-time model for precipitation. 8.2. Pricing derivatives on precipitation -- 9. Utility-based approaches to pricing weather derivatives. 9.1. Indifference pricing. 9.2. Fair pricing by benchmarking to a reference index. 9.3. Pricing by marginal utility. 9.4. The equilibrium approach by Cao and Wei
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 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
Bibliography Includes bibliographical references and index
Notes Print version record
Subject Stocks -- Prices.
Weather derivatives.
Form Electronic book
Author Saltyte Benth, Jurate.
ISBN 1283850788
9781283850780
9789814401845 (hbk.)
9789814401852 (electronic bk.)
9814401846 (hbk.)
9814401854 (electronic bk.)