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Item Details
| Title:
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MODELING AND PRICING IN FINANCIAL MARKETS FOR WEATHER DERIVATIVES
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| By: |
Jurate Aealtyte Benth, Fred Espen Benth |
| Format: |
Hardback |
| List price:
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£81.00 |
| Our price: |
£72.90 |
| Discount: |
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| You save:
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£8.10 |
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| ISBN 10: |
9814401846 |
| ISBN 13: |
9789814401845 |
| Availability: |
Usually dispatched within 1-3 weeks.
 Delivery
rates
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| Stock: |
Currently 0 available |
| Publisher: |
WORLD SCIENTIFIC PUBLISHING CO PTE LTD |
| Pub. date: |
5 October, 2012 |
| Series: |
Advanced Series on Statistical Science & Applied Probability 17 |
| Pages: |
256 |
| Description: |
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 derivatives, including financial contracts on temperature, wind and rain. |
| Synopsis: |
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. |
| Publication: |
Singapore |
| Imprint: |
World Scientific Publishing Co Pte Ltd |
| Returns: |
Returnable |
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