Modeling and pricing in financial markets for weather derivatives [[electronic resource] /] / Fred Espen Benth, Jūrate Šaltytė Benth

• Record Nr.: UNINA9910464769103321
• Autore: Benth Fred Espen <1969->
• Pubbl/distr/stampa: Singapore ; ; Hackensack, NJ, : World Scientific Pub., c2013
• ISBN: 1-283-85078-8; 981-4401-85-4
• Descrizione fisica: 1 online resource (255 p.)
• Collana: Advanced series on statistical science and applied probability ; ; vol. 17
• Altri autori (Persone): Saltyte BenthJurate
• Disciplina: 332.6457
• Soggetti: Stocks - Prices; Weather derivatives; Electronic books.
• Lingua di pubblicazione: Inglese
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references and index.
• Nota di contenuto: Preface; Contents; 1. Financial markets for weather; 1.1 The use of weather derivatives; 1.2 Markets for weather derivatives; 1.2.1 Temperature derivatives; 1.2.2 Derivatives on wind speed; 1.2.3 Precipitation derivatives; 1.2.4 Other weather derivatives; 1.3 A brief outlook of the monograph; Statistics of weather; 2. Data description and exploratory analysis; 2.1 Data; 2.2 Temperature; 2.3 Wind; 2.4 Precipitation; 2.5 Spatial statistics and spatial-temporal modelling; 2.6 Stochastic weather modelling - literature overview; 2.6.1 Temperature; 2.6.2 Wind; 2.6.3 Precipitation; 3. Spatial-temporal modelling3.1 The modelling approach; 3.2 Spatial-temporal model for temperature and wind speed; 3.2.1 Marginal modelling of temperature and wind speed; 3.2.2 Spatial modelling of temperature and wind speed; 3.2.3 Estimation of the marginal temperature model; 3.2.3.1 Trend; 3.2.3.2 Seasonal component; 3.2.3.3 ARMA process; 3.2.3.4 Residuals; 3.2.4 Estimation of spatial temperature model; 3.2.4.1 Spatial model for temporal parameters; 3.2.4.2 Spatial correlations; 3.2.4.3 Model validation for temperature; 3.2.5 A critical view on temporal temperature modelling; 3.2.6 Estimation of wind speed model3.2.6.1 Seasonal component and ARMA process; 3.2.6.2 Residuals; 3.2.6.3 Spatial modelling; 3.2.6.4 Model validation for wind speed; 3.3 Temporal modelling of ; precipitation; 3.3.1 Estimation of precipitation time series model; 3.3.2 Validation of precipitation time series model; Weather derivatives; 4. Continuous-time models for temperature and wind speed; 4.1 CARMA models; 4.2 Simulation of CARMA processes; 4.3 Linking CARMA to ARMA; 4.4 Recovering the states I: the Kalman filter; 4.5 Recovering the states II: an approxmative L1-filter; 4.6 CARMA models for temperature and wind speed4.6.1 A model for temperature; 4.6.2 A model for wind speed; 4.7 Speed of reversion to the mean: the half-life; 5. Pricing of forward contracts on temperature and wind speed; 5.1 Theory on pricing forwards; 5.1.1 Pricing by burn analysis; 5.2 A structure preserving class of measure changes; 5.3 Pricing temperature forwards; 5.4 Analysis of temperature futures prices; 5.4.1 Temperature futures prices and the states of temperature; 5.4.2 The theoretical risk premium of temperature; 5.4.3 The Samuelson effect; 5.5 Pricing wind speed forwards; 6. Extensions of temperature and wind speed models6.1 Stochastic temperature volatility; 6.2 Brownian semistationary processes; 6.3 Fractional models; 7. Options on temperature and wind; 7.1 Options on temperature futures; 7.2 Options on wind speed futures; 7.3 Geographical hedging; 7.3.1 A simple spatial-temporal model for temperature; 7.3.2 Computation of the optimal geographical hedge; 8. Precipitation derivatives; 8.1 A continuous-time model for precipitation; 8.1.1 A class of independent increment processes; 8.1.2 A stochastic model of precipitation; 8.2 Pricing derivatives on precipitation
• Sommario/riassunto: Weather derivatives provide a tool for weather risk management, and the markets for these exotic financial products are gradually emerging in size and importance. This unique monograph presents a unified approach to the modeling and analysis of such weather derivatives, including financial contracts on temperature, wind and rain. Based on a deep statistical analysis of weather factors, sophisticated stochastic processes are introduced modeling the time and space dynamics. Applying ideas from the modern theory of mathematical finance, weather derivatives are priced, and questions of hedging ana