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nexusstc/Modeling and Pricing in Financial Markets for Weather Derivatives/7a59b2449c44b16b9767c63931c0fea7.pdf
Modeling and Pricing in Financial Markets for Weather Derivatives (Advanced Statistical Science and Applied Probability) 🔍
Benth, Fred Espen, Benth, Jurate Saltyte, Saltyte-Benth, Jurate World Scientific Publishing Company, Advanced Series on Statistical Science & Applied Probability, Advanced Series On Statistical Science And Applied Probability, 2012
英语 [en] · PDF · 2.3MB · 2012 · 📘 非小说类图书 · 🚀/duxiu/lgli/lgrs/nexusstc/zlib · Save
描述
"Weather 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 analyzed. The treatise contains an in-depth analysis of typical weather contracts traded at the Chicago Mercantile Exchange (CME), including so-called CDD and HDD futures. The statistical analysis of weather variables is based on a large data set from Lithuania. The monograph includes the research done by the authors over the last decade on weather markets. Their work has gained considerable attention, and has been applied in many contexts"--Provided by publisher
备用文件名
lgli/Modeling And Pricing In Financial Markets For Weat - Fred Espen Benth.pdf
备用文件名
lgrsnf/Modeling And Pricing In Financial Markets For Weat - Fred Espen Benth.pdf
备用文件名
zlib/no-category/Fred Espen Benth; Jurate Saltyte-benth/Modeling And Pricing In Financial Markets For Weather Derivatives_25620182.pdf
备选标题
Modeling and pricing in financial merkets for weather derivatives
备选作者
by Fred Espen Benth (University of Oslo, Norway) & Jūrate Šaltytė Benth (University of Oslo, Norway)
备选作者
FRED ESPEN BENTH, JūRAT? ?ALTYT? BENTH,WORLD SCIENTIFIC
备选作者
Fred Espen Benth; Jūratė Šaltytė Benth
备用出版商
World Scientific Publishing Co Pte Ltd
备用版本
Advanced series on statistical science and applied probability, Singapore ; Hackensack NJ, c2013
备用版本
Advanced Series on Statistical Science and Applied Probability -- Vol. 17, New Jersey, 2012
备用版本
Advanced series on statistical science & applied probability, vol. 17, Singapore, 2013
备用版本
Advanced series on statistical science & applied probability, v. 17, New Jersey, 2013
备用版本
World Scientific Publishing Company, Singapore, 2012
备用版本
Singapore, Singapore
元数据中的注释
{"container_title":"Advanced Series on Statistical Science & Applied Probability","isbns":["9789814401845","9789814401852","9814401846","9814401854"],"issns":["1793-091X"],"last_page":255,"publisher":"WORLD SCIENTIFIC","series":"Advanced Series On Statistical Science And Applied Probability"}
元数据中的注释
Includes bibliographical references and index.
备用描述
Preface
Financial markets for weather
Data description and exploratory analysis
Spatial-temporal modelling
Continuous-time models of temperature and wind speed
Pricing of forward contracts on temperature and wind speed
Extensions of temperature and wind speed models
Precipitation derivatives
Utility-based approaches to pricing weather derivatives
Appendix a list of abbreviations
Bibliography
Index.
开源日期
2023-08-03
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