LEADER 05589nam 2200673Ia 450 001 9910464769103321 005 20200520144314.0 010 $a1-283-85078-8 010 $a981-4401-85-4 035 $a(CKB)3400000000087222 035 $a(EBL)1080976 035 $a(OCoLC)821180509 035 $a(SSID)ssj0000754875 035 $a(PQKBManifestationID)12343869 035 $a(PQKBTitleCode)TC0000754875 035 $a(PQKBWorkID)10729850 035 $a(PQKB)10495137 035 $a(MiAaPQ)EBC1080976 035 $a(WSP)00002818 035 $a(Au-PeEL)EBL1080976 035 $a(CaPaEBR)ebr10627506 035 $a(CaONFJC)MIL416328 035 $a(EXLCZ)993400000000087222 100 $a20120723d2013 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aModeling and pricing in financial markets for weather derivatives$b[electronic resource] /$fFred Espen Benth, Ju?rate S?altyte? Benth 210 $aSingapore ;$aHackensack, NJ $cWorld Scientific Pub.$dc2013 215 $a1 online resource (255 p.) 225 0 $aAdvanced series on statistical science and applied probability ;$vvol. 17 300 $aDescription based upon print version of record. 311 $a981-4401-84-6 320 $aIncludes bibliographical references and index. 327 $aPreface; 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 327 $a3. 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 327 $a3.2.6 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 327 $a4.6 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 327 $a6. 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 327 $a8.2 Pricing derivatives on precipitation 330 $aWeather derivatives provide a tool for weather risk management, and the markets for these exotic financial products are gradually emerging in size and importance. This unique monograph presents a unified approach to the modeling and analysis of such weather derivatives, including financial contracts on temperature, wind and rain. Based on a deep statistical analysis of weather factors, sophisticated stochastic processes are introduced modeling the time and space dynamics. Applying ideas from the modern theory of mathematical finance, weather derivatives are priced, and questions of hedging ana 410 0$aADVANCED SERIES ON STATISTICAL SCIENCE AND APPLIED PROBABILITY 606 $aStocks$xPrices 606 $aWeather derivatives 608 $aElectronic books. 615 0$aStocks$xPrices. 615 0$aWeather derivatives. 676 $a332.6457 700 $aBenth$b Fred Espen$f1969-$0151492 701 $aSaltyte Benth$b Jurate$0772024 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910464769103321 996 $aModeling and pricing in financial markets for weather derivatives$91976816 997 $aUNINA