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

ISBN-10: 0521843715

ISBN-13: 9780521843713

Edition: 2005

Authors: Stephen Jewson, Anders Brix, Christine Ziehmann

List price: $129.00
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Description:

Weather Derivative Valuation is the first book to cover 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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Book details

List price: $129.00
Copyright year: 2005
Publisher: Cambridge University Press
Publication date: 3/10/2005
Binding: Hardcover
Pages: 392
Size: 7.00" wide x 10.00" long x 1.25" tall
Weight: 2.024
Language: English

List of figures
List of tables
Acknowledgements
Weather derivatives and the weather derivatives market
Data cleaning and trends
The valuation of single contracts using burn analysis
The valuation of single contracts using index modelling
Further topics in the valuation of single contracts
Valuation of single contracts using daily methods
Modelling portfolios
Managing portfolios
Introduction to meteorological forecasts
The use of meteorological forecasts in pricing
Arbitrage pricing models
Risk management
Modelling non-temperature data
Appendices
References
Index