Stephen Jewson

Weather Derivative Valuation (eBook, PDF)

The Meteorological, Statistical, Financial and Mathematical Foundations

• Format: PDF

Produktbeschreibung

Originally published in 2005, Weather Derivative Valuation covers all the meteorological, statistical, financial and mathematical issues that arise in the pricing and risk management of weather derivatives. There are chapters on meteorological data and data cleaning, the modelling and pricing of single weather derivatives, the modelling and valuation of portfolios, the use of weather and seasonal forecasts in the pricing of weather derivatives, arbitrage pricing for weather derivatives, risk management, and the modelling of temperature, wind and precipitation. 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.

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Produktdetails

• Verlag: Cambridge University Press
• Erscheinungstermin: 10. März 2005
• Englisch
• ISBN-13: 9780511111983
• Artikelnr.: 38184107

Autorenporträt

Stephen Jewson works for a financial consultancy where he manages a group that produces commercial software and meteorological data for the weather derivative industry. He has published a large number of articles in the fields of fundamental climate research, applied meteorology and weather derivatives.
Contributions by Christine Ziehmann

Inhaltsangabe

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.

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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