Modeling and Pricing in Financial Markets for Weather Derivatives: 17 - Rilegato

Benth, Fred Espen; Benth, Jurate Saltyte

Rilegato

ISBN 10: 9814401846 ISBN 13: 9789814401845

Casa editrice: World Scientific Pub Co Inc, 2012

Riassunto

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 are 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.

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Recensione

The monograph will also be useful for those dealing with energy markets, agriculture, insurance and financial engineering, and will stimulate further research in this important direction. --Anatoliy Swishchuk, University of Calgary, Canada

The main core is self-contained and well written, and the reviewer finds it useful to the research in the area. --Mathematical Reviews

Dettagli dell'edizione

• Editore: World Scientific Pub Co Inc
• Data di pubblicazione: 2012
• Lingua: Inglese
• ISBN 10: 9814401846
• ISBN 13: 9789814401845
• Rilegatura: Copertina rigida
• Numero di pagine: 242
• Contatto del produttore: non disponibile
• Persona responsabile: gpsr@libri.de; gpsr@libri.de; ; Friedensallee 273; Hamburg; 22763; Germania