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. 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