03113nam 2200445Ia 450 991078934760332120240102235718.09789814401852 (e-book)9789814401845 (hbk.)(MiAaPQ)EBC1080976(Au-PeEL)EBL1080976(CaPaEBR)ebr10627506(CaONFJC)MIL416328(OCoLC)821180509(CKB)3400000000087222(EXLCZ)99340000000008722220120723d2013 uy 0engur|n|nnn|||||Modeling and pricing in financial markets for weather derivatives[electronic resource] /Fred Espen Benth, Jurate Saltyte BenthSingapore ;Hackensack, NJ World Scientific Pub.c20131 online resource (xi, 242 p.) illAdvanced series on statistical science and applied probability ;vol. 17Includes bibliographical references and index.1. Financial markets for weather -- Statistics of weather -- 2. Data description and exploratory analysis -- 3. Spatial-temporal modelling -- Weather derivatives -- 4. Continuous-time models of temperature and wind speed -- 5. Pricing of forward contracts on temperature and wind speed -- 6. Extensions of temperature and wind speed models -- 7. Options on temperature and wind -- 8. Precipitation derivatives -- 9. Utility-based approaches to pricing weather derivatives -- Appendix A List of abbreviations -- Bibliography -- Index.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 analyzed. The treatise contains an in-depth analysis of typical weather contracts traded at the Chicago Mercantile Exchange (CME), including so-called CDD and HDD futures. The statistical analysis of weather variables is based on a large data set from Lithuania.The monograph includes the research done by the authors over the last decade on weather markets. Their work has gained considerable attention, and has been applied in many contexts.Advanced series on statistical science & applied probability ;v. 17.StocksPricesWeather derivativesStocksPrices.Weather derivatives.332.6457Benth Fred Espen1969-151492Saltyte Benth Jurate772024MiAaPQMiAaPQMiAaPQ9910789347603321Modeling and pricing in financial markets for weather derivatives3720415UNINA