Weather Derivative Valuation - The Meteorological, Statistical, Financial Mathematical Foundations

Informationen zum Autor 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. Klappentext This book, first published in 2005, covers meteorological, statistical, financial and mathematical issues arising in the pricing and risk management of weather derivatives. Zusammenfassung Covers the meteorological! statistical! financial and mathematical issues that arise in the pricing and risk management of weather derivatives. Written by consultants who work within the weather derivative industry! this book! first published in 2005! is packed with practical information and theoretical insight into the world of weather derivative pricing. Inhaltsverzeichnis 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.

Product details

• Authors: Anders Brix, Brix Anders, Stephen Jewson, Stephen Brix Jewson, Jewson Stephen
• Publisher: Cambridge University Press Academic
• Languages: English
• Product format: Paperback / Softback
• Released: 10.06.2010
• EAN: 9780521142281
• ISBN: 978-0-521-14228-1
• Dimensions: 174 mm x 248 mm x 20 mm
• Series: Print On Demand; Print on Demand
• Subjects: Natural sciences, medicine, IT, technology; Social sciences, law, business > Business > Miscellaneous; Business & Economics / Investments & Securities / General, BUSINESS & ECONOMICS / Econometrics, Economic statistics, Investment & securities, Investment and securities, Econometrics and economic statistics