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Modeling and pricing in financial markets for weather derivatives [[electronic resource] /] / Fred Espen Benth, Jūrate Šaltytė Benth
| Modeling and pricing in financial markets for weather derivatives [[electronic resource] /] / Fred Espen Benth, Jūrate Šaltytė Benth |
| Autore | Benth Fred Espen <1969-> |
| Pubbl/distr/stampa | Singapore ; ; Hackensack, NJ, : World Scientific Pub., c2013 |
| Descrizione fisica | 1 online resource (255 p.) |
| Disciplina | 332.6457 |
| Altri autori (Persone) | Saltyte BenthJurate |
| Collana | Advanced series on statistical science and applied probability |
| Soggetto topico |
Stocks - Prices
Weather derivatives |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-283-85078-8
981-4401-85-4 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| 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 |
| Record Nr. | UNINA-9910464769103321 |
Benth Fred Espen <1969->
|
||
| Singapore ; ; Hackensack, NJ, : World Scientific Pub., c2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Modeling and pricing in financial markets for weather derivatives [[electronic resource] /] / Fred Espen Benth, Jurate Saltyte Benth
| Modeling and pricing in financial markets for weather derivatives [[electronic resource] /] / Fred Espen Benth, Jurate Saltyte Benth |
| Autore | Benth Fred Espen <1969-> |
| Pubbl/distr/stampa | Singapore ; ; Hackensack, NJ, : World Scientific Pub., c2013 |
| Descrizione fisica | 1 online resource (xi, 242 p.) : ill |
| Disciplina | 332.6457 |
| Altri autori (Persone) | Saltyte BenthJurate |
| Collana | Advanced series on statistical science and applied probability |
| Soggetto topico |
Stocks - Prices
Weather derivatives |
| ISBN |
9789814401852 (e-book)
9789814401845 (hbk.) |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 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. |
| Record Nr. | UNINA-9910789347603321 |
|
Benth Fred Espen <1969->
|
||
| Singapore ; ; Hackensack, NJ, : World Scientific Pub., c2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Modeling and pricing in financial markets for weather derivatives / / Fred Espen Benth, Jurate Saltyte Benth
| Modeling and pricing in financial markets for weather derivatives / / Fred Espen Benth, Jurate Saltyte Benth |
| Autore | Benth Fred Espen <1969-> |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Singapore ; ; Hackensack, NJ, : World Scientific Pub., c2013 |
| Descrizione fisica | 1 online resource (xi, 242 p.) : ill |
| Disciplina | 332.6457 |
| Altri autori (Persone) | Saltyte BenthJurate |
| Collana | Advanced series on statistical science and applied probability |
| Soggetto topico |
Stocks - Prices
Weather derivatives |
| ISBN |
9789814401852 (e-book)
9789814401845 (hbk.) |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 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. |
| Record Nr. | UNINA-9910828778603321 |
|
Benth Fred Espen <1969->
|
||
| Singapore ; ; Hackensack, NJ, : World Scientific Pub., c2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic modelling of electricity and related markets [[electronic resource] /] / Fred Espen Benth, Jūratė Šaltytė Benth, Steen Koekebakker
| Stochastic modelling of electricity and related markets [[electronic resource] /] / Fred Espen Benth, Jūratė Šaltytė Benth, Steen Koekebakker |
| Autore | Benth Fred Espen <1969-> |
| Pubbl/distr/stampa | Singapore ; ; Hackensack, N.J., : World Scientific, c2008 |
| Descrizione fisica | 1 online resource (352 p.) |
| Disciplina | 333.793/20151922 |
| Altri autori (Persone) |
Saltyte BenthJurate
KoekebakkerSteen |
| Collana | Advanced series on statistical science & applied probability |
| Soggetto topico |
Electric utilities - Mathematical models
Energy industries - Mathematical models Stochastic models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-281-96091-8
9786611960919 981-281-231-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; Preface; 1. A Survey of Electricity and Related Markets; 1.1 The electricity markets; 1.1.1 Electricity contracts with physical delivery .; 1.1.2 Financial electricity contracts; 1.2 The gas market; 1.2.1 Futures and options on gas; 1.3 The temperature market; 1.4 Other related energy markets; 1.5 Stochastic modelling of energy markets; 1.5.1 Spot price modelling; 1.5.2 Forward and swap pricing in electricity and related markets; 1.6 Outline of the book; 2. Stochastic Analysis for Independent Increment Processes; 2.1 Definitions
2.2 Stochastic integration with respect to martingales 2.3 Random jump measures and stochastic integration; 2.4 The Lévy-Kintchine decomposition and semimartingales; 2.5 The It Formula for semimartingales; 2.6 Examples of independent increment processes; 2.6.1 Time-in homogeneous compound Poisson process; 2.6.2 Models based on the generalized hyperbolic distributions; 2.6.3 Models based on the Variance-Gamma and CGMY distributions; 3. Stochastic Models for the Energy Spot Price Dynamics; 3.1 Introduction; 3.2.1 Geometric models; 3.2.2 Arithmetic models 3.3 The auto correlation function of multi-factor Ornstein- Uhlenbeck processes 3.4 Simulation of stationary Ornstein-Uhlenbeck processes: a case study with the arithmetic spot model; 4. Pricing of Forwards and Swaps Based on the Spot Price; 4.1 Risk-neutral forward and swap price modelling; 4.1.1 Risk-neutral probabilities and the Esscher transform; 4.1.2 The Esscher transform for some specific models; 4.2 Currency conversion for forward and swap prices; 4.3 Pricing of forwards; 4.3.1 The geometric case; 4.3.2 The arithmetic case .; 4.4 Pricing of swaps; 4.4.1 The geometric case 4.4.2 The arithmetic case 5. Applications to the Gas Markets; 5.1 Modelling the gas spot price; 5.1.1 Empirical analysis of UK gas spot prices; 5.1.2 Residuals modeled as a mixed jump-diffusion process; 5.1.3 NIG distributed residuals; 5.2 Pricing of gas futures; 5.3 Inference for multi-factor processes; 5.3.1 Kalman filtering; 6. Modelling Forwards and Swaps Using the Heath-Jarrow- Morton Approach; 6.1 The HJM modelling idea for forward contracts; 6.2 HJM modelling of forwards; 6.3 HJM modelling of swaps; 6.3.1 Swap models based on forwards; 6.4 The market models 6.4.1 Modelling with jump processes 7. Constructing Smooth Forward Curves in Electricity Markets; 7.1 Swap and forward prices; 7.1.1 Basic relationships; 7.1.2 A continuous seasonal forward curve; 7.2 Maximum smooth forward curve; 7.2.1 A smooth forward curve constrained by closing prices; 7.2.2 A smooth forward curve constrained by bid and ask spreads; 7.3 Putting the algorithm to work .; 7.3.1 Nord Pool example I: A smooth curve; 7.3.2 Nord Pool example II: Preparing a data set and analysing volatility; 8. Modelling of the Electricity Futures Market 8.1 The Nord Pool market and financial contracts |
| Record Nr. | UNINA-9910453198703321 |
|
Benth Fred Espen <1969->
|
||
| Singapore ; ; Hackensack, N.J., : World Scientific, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic modelling of electricity and related markets [[electronic resource] /] / Fred Espen Benth, Jūratė Šaltytė Benth, Steen Koekebakker
| Stochastic modelling of electricity and related markets [[electronic resource] /] / Fred Espen Benth, Jūratė Šaltytė Benth, Steen Koekebakker |
| Autore | Benth Fred Espen <1969-> |
| Pubbl/distr/stampa | Singapore ; ; Hackensack, N.J., : World Scientific, c2008 |
| Descrizione fisica | 1 online resource (352 p.) |
| Disciplina | 333.793/20151922 |
| Altri autori (Persone) |
Saltyte BenthJurate
KoekebakkerSteen |
| Collana | Advanced series on statistical science & applied probability |
| Soggetto topico |
Electric utilities - Mathematical models
Energy industries - Mathematical models Stochastic models |
| ISBN |
1-281-96091-8
9786611960919 981-281-231-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; Preface; 1. A Survey of Electricity and Related Markets; 1.1 The electricity markets; 1.1.1 Electricity contracts with physical delivery .; 1.1.2 Financial electricity contracts; 1.2 The gas market; 1.2.1 Futures and options on gas; 1.3 The temperature market; 1.4 Other related energy markets; 1.5 Stochastic modelling of energy markets; 1.5.1 Spot price modelling; 1.5.2 Forward and swap pricing in electricity and related markets; 1.6 Outline of the book; 2. Stochastic Analysis for Independent Increment Processes; 2.1 Definitions
2.2 Stochastic integration with respect to martingales 2.3 Random jump measures and stochastic integration; 2.4 The Lévy-Kintchine decomposition and semimartingales; 2.5 The It Formula for semimartingales; 2.6 Examples of independent increment processes; 2.6.1 Time-in homogeneous compound Poisson process; 2.6.2 Models based on the generalized hyperbolic distributions; 2.6.3 Models based on the Variance-Gamma and CGMY distributions; 3. Stochastic Models for the Energy Spot Price Dynamics; 3.1 Introduction; 3.2.1 Geometric models; 3.2.2 Arithmetic models 3.3 The auto correlation function of multi-factor Ornstein- Uhlenbeck processes 3.4 Simulation of stationary Ornstein-Uhlenbeck processes: a case study with the arithmetic spot model; 4. Pricing of Forwards and Swaps Based on the Spot Price; 4.1 Risk-neutral forward and swap price modelling; 4.1.1 Risk-neutral probabilities and the Esscher transform; 4.1.2 The Esscher transform for some specific models; 4.2 Currency conversion for forward and swap prices; 4.3 Pricing of forwards; 4.3.1 The geometric case; 4.3.2 The arithmetic case .; 4.4 Pricing of swaps; 4.4.1 The geometric case 4.4.2 The arithmetic case 5. Applications to the Gas Markets; 5.1 Modelling the gas spot price; 5.1.1 Empirical analysis of UK gas spot prices; 5.1.2 Residuals modeled as a mixed jump-diffusion process; 5.1.3 NIG distributed residuals; 5.2 Pricing of gas futures; 5.3 Inference for multi-factor processes; 5.3.1 Kalman filtering; 6. Modelling Forwards and Swaps Using the Heath-Jarrow- Morton Approach; 6.1 The HJM modelling idea for forward contracts; 6.2 HJM modelling of forwards; 6.3 HJM modelling of swaps; 6.3.1 Swap models based on forwards; 6.4 The market models 6.4.1 Modelling with jump processes 7. Constructing Smooth Forward Curves in Electricity Markets; 7.1 Swap and forward prices; 7.1.1 Basic relationships; 7.1.2 A continuous seasonal forward curve; 7.2 Maximum smooth forward curve; 7.2.1 A smooth forward curve constrained by closing prices; 7.2.2 A smooth forward curve constrained by bid and ask spreads; 7.3 Putting the algorithm to work .; 7.3.1 Nord Pool example I: A smooth curve; 7.3.2 Nord Pool example II: Preparing a data set and analysing volatility; 8. Modelling of the Electricity Futures Market 8.1 The Nord Pool market and financial contracts |
| Record Nr. | UNINA-9910782268103321 |
|
Benth Fred Espen <1969->
|
||
| Singapore ; ; Hackensack, N.J., : World Scientific, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic modelling of electricity and related markets / / Fred Espen Benth, Jurate Saltyte Benth, Steen Koekebakker
| Stochastic modelling of electricity and related markets / / Fred Espen Benth, Jurate Saltyte Benth, Steen Koekebakker |
| Autore | Benth Fred Espen <1969-> |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Singapore ; ; Hackensack, N.J., : World Scientific, c2008 |
| Descrizione fisica | 1 online resource (352 p.) |
| Disciplina | 333.793/20151922 |
| Altri autori (Persone) |
Saltyte BenthJurate
KoekebakkerSteen |
| Collana | Advanced series on statistical science & applied probability |
| Soggetto topico |
Electric utilities - Mathematical models
Energy industries - Mathematical models Stochastic models |
| ISBN |
1-281-96091-8
9786611960919 981-281-231-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; Preface; 1. A Survey of Electricity and Related Markets; 1.1 The electricity markets; 1.1.1 Electricity contracts with physical delivery .; 1.1.2 Financial electricity contracts; 1.2 The gas market; 1.2.1 Futures and options on gas; 1.3 The temperature market; 1.4 Other related energy markets; 1.5 Stochastic modelling of energy markets; 1.5.1 Spot price modelling; 1.5.2 Forward and swap pricing in electricity and related markets; 1.6 Outline of the book; 2. Stochastic Analysis for Independent Increment Processes; 2.1 Definitions
2.2 Stochastic integration with respect to martingales 2.3 Random jump measures and stochastic integration; 2.4 The Lévy-Kintchine decomposition and semimartingales; 2.5 The It Formula for semimartingales; 2.6 Examples of independent increment processes; 2.6.1 Time-in homogeneous compound Poisson process; 2.6.2 Models based on the generalized hyperbolic distributions; 2.6.3 Models based on the Variance-Gamma and CGMY distributions; 3. Stochastic Models for the Energy Spot Price Dynamics; 3.1 Introduction; 3.2.1 Geometric models; 3.2.2 Arithmetic models 3.3 The auto correlation function of multi-factor Ornstein- Uhlenbeck processes 3.4 Simulation of stationary Ornstein-Uhlenbeck processes: a case study with the arithmetic spot model; 4. Pricing of Forwards and Swaps Based on the Spot Price; 4.1 Risk-neutral forward and swap price modelling; 4.1.1 Risk-neutral probabilities and the Esscher transform; 4.1.2 The Esscher transform for some specific models; 4.2 Currency conversion for forward and swap prices; 4.3 Pricing of forwards; 4.3.1 The geometric case; 4.3.2 The arithmetic case .; 4.4 Pricing of swaps; 4.4.1 The geometric case 4.4.2 The arithmetic case 5. Applications to the Gas Markets; 5.1 Modelling the gas spot price; 5.1.1 Empirical analysis of UK gas spot prices; 5.1.2 Residuals modeled as a mixed jump-diffusion process; 5.1.3 NIG distributed residuals; 5.2 Pricing of gas futures; 5.3 Inference for multi-factor processes; 5.3.1 Kalman filtering; 6. Modelling Forwards and Swaps Using the Heath-Jarrow- Morton Approach; 6.1 The HJM modelling idea for forward contracts; 6.2 HJM modelling of forwards; 6.3 HJM modelling of swaps; 6.3.1 Swap models based on forwards; 6.4 The market models 6.4.1 Modelling with jump processes 7. Constructing Smooth Forward Curves in Electricity Markets; 7.1 Swap and forward prices; 7.1.1 Basic relationships; 7.1.2 A continuous seasonal forward curve; 7.2 Maximum smooth forward curve; 7.2.1 A smooth forward curve constrained by closing prices; 7.2.2 A smooth forward curve constrained by bid and ask spreads; 7.3 Putting the algorithm to work .; 7.3.1 Nord Pool example I: A smooth curve; 7.3.2 Nord Pool example II: Preparing a data set and analysing volatility; 8. Modelling of the Electricity Futures Market 8.1 The Nord Pool market and financial contracts |
| Record Nr. | UNINA-9910810335003321 |
|
Benth Fred Espen <1969->
|
||
| Singapore ; ; Hackensack, N.J., : World Scientific, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||