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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->
|
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| 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 | ||
| ||
Weather derivatives : modeling and pricing weather-related risk / / Antonis K. Alexandridis, Achilleas D. Zapranis
| Weather derivatives : modeling and pricing weather-related risk / / Antonis K. Alexandridis, Achilleas D. Zapranis |
| Autore | Alexandridis Antonis K |
| Edizione | [1st ed. 2013.] |
| Pubbl/distr/stampa | New York, : Springer, 2013 |
| Descrizione fisica | 1 online resource (309 p.) |
| Disciplina | 630.681 |
| Altri autori (Persone) | ZapranisAchilleas <1965-> |
| Soggetto topico | Weather derivatives |
| ISBN |
1-283-91140-X
1-4614-6071-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | The weather derivatives market -- Introduction to Stochastic Calculus -- Handling the data -- Pricing approaches of temperature -- Modeling the daily average temperature -- Pricing temperature derivatives -- The use of meteorological forecasts -- The effects of the geographical and basis risk -- Pricing the power of the wind a. Introduction to wind derivatives -- Precipitation Derivatives a. Introduction -- Rainfall Derivatives -- Snow Derivatives -- Appendix A -- Appendix B -- Index -- References. |
| Record Nr. | UNINA-9910438076403321 |
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Alexandridis Antonis K
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| New York, : Springer, 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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