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Weather Derivative Valuation
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Details

  • Page extent: 392 pages
  • Size: 234 x 156 mm
  • Weight: 0.82 kg

Library of Congress

  • Dewey number: 332.64/57
  • Dewey version: 22
  • LC Classification: HG6052 .J49 2005
  • LC Subject headings:
    • Weather derivatives--Valuation

Library of Congress Record

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Hardback

 (ISBN-13: 9780521843713 | ISBN-10: 0521843715)

Manufactured on demand: supplied direct from the printer

$129.00 (C)

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 2005 book is packed with practical information and theoretical insight into the world of weather derivative pricing.

Contents

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.

Review

"This is the first book to cover all the meteorological, statistical, financial, and mathematical issues that rise in pricing and risk management of weather derivatives.
Abstracts of Public Administration, Development, and the Environment

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