This book, first published in 2005, covers meteorological, statistical, financial and mathematical issues arising in the pricing and risk management of weather derivatives.
This book, first published in 2005, covers meteorological, statistical, financial and mathematical issues arising in the pricing and risk management of weather derivatives.Hinweis: Dieser Artikel kann nur an eine deutsche Lieferadresse ausgeliefert werden.
List of figures List of tables Acknowledgements 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. Valuation of single contracts using daily methods 7. Modelling portfolios 8. Managing portfolios 9. Introduction to meteorological forecasts 10. The use of meteorological forecasts in pricing 11. Arbitrage pricing models 12. Risk management 13. Modelling non-temperature data Appendices References Index.
List of figures; List of tables; Acknowledgements; 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. Valuation of single contracts using daily methods; 7. Modelling portfolios; 8. Managing portfolios; 9. Introduction to meteorological forecasts; 10. The use of meteorological forecasts in pricing; 11. Arbitrage pricing models; 12. Risk management; 13. Modelling non-temperature data; Appendices; References; Index.
List of figures List of tables Acknowledgements 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. Valuation of single contracts using daily methods 7. Modelling portfolios 8. Managing portfolios 9. Introduction to meteorological forecasts 10. The use of meteorological forecasts in pricing 11. Arbitrage pricing models 12. Risk management 13. Modelling non-temperature data Appendices References Index.
List of figures; List of tables; Acknowledgements; 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. Valuation of single contracts using daily methods; 7. Modelling portfolios; 8. Managing portfolios; 9. Introduction to meteorological forecasts; 10. The use of meteorological forecasts in pricing; 11. Arbitrage pricing models; 12. Risk management; 13. Modelling non-temperature data; Appendices; References; Index.
Rezensionen
Review of the hardback: 'Weather Derivative Valuation draws on both finance and meteorology, with a healthy dose of mathematics and statistics, to provide the practitioner with a comprehensive guide to the various methods for pricing and hedging weather derivative contracts. While no perfect model may exist, Jewson and Brix give the reader the background necessary to make informed choices between competing techniques.' William Gebhardt, Merrill Lynch
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