ENGLISH

Weather derivatives : modeling and pricing weather-related risk

By Antonis K Alexandridis; Achilleas Zapranis

Book information

Publisher
Springer
Year
2013
ISBN
9781461460718, 1461460719
Language
english
Format
PDF
Filesize
5 MB (5504447 bytes)
Pages
309\309
Library
Kolxo3
Time added
2013-05-29 16:00:00

Description

Weather derivatives are financial instruments that can be used by organizations or individuals as part of a risk management strategy to minimize risk associated with adverse or unexpected weather conditions. Just as traditional contingent claims, a weather derivative has an underlying measure, such as: rainfall, wind, snow or temperature. Nearly $1 trillion of the U.S. economy is directly exposed to weather-related risk. More precisely, almost 30% of the U.S. economy and 70% of U.S. companies are affected by weather. The purpose of this monograph is to conduct an in-depth analysis of financial products that are traded in the weather market. Presenting a pricing and modeling approach for weather derivatives written on various underlying weather variables will help students, researchers, and industry professionals accurately price weather derivatives, and will provide strategies for effectively hedging against weather-related risk. This book will link the mathematical aspects of the modeling procedure of weather variables to the financial markets and the pricing of weather derivatives. Very little has been published in the area of weather risk, and this volume will appeal to graduate-level students and researchers studying financial mathematics, risk management, or energy finance, in addition to investors and professionals within the financial services industry. Read more... The Weather Derivatives Market -- Introduction to Stochastic Calculus -- Handling the Data -- Pricing Approaches of Temperature Derivatives -- Modeling the Daily Average Temperature -- Pricing Temperature Derivatives -- Using Meteorological Forecasts for Improving Weather Derivative Pricing -- The Effects of the Geographical and Basis Risk -- Pricing the Power of Wind -- Precipitation Derivatives

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