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Modeling and pricing in financial markets for weather derivatives[electronic resource] /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
杜威分類號:	332.6457
書名/作者:	Modeling and pricing in financial markets for weather derivatives/ Fred Espen Benth, Jūrate Šaltytė Benth.
作者:	Benth, Fred Espen,
其他作者:	Saltyte Benth, Jurate.
出版者:	Singapore ; : World Scientific,, 2013.
面頁冊數:	1 online resource (xi, 242 p.) : : ill.
標題:	Weather derivatives.
標題:	Stocks - Prices.
ISBN:	9789814401852 (electronic bk.)
ISBN:	9814401854 (electronic bk.)
ISBN:	9781283850780
ISBN:	1283850788
書目註:	Includes bibliographical references and index.
摘要、提要註:	"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.
電子資源:	http://www.worldscientific.com/worldscibooks/10.1142/8457#t=toc

Modeling and pricing in financial markets for weather derivatives[electronic resource] /
Benth, Fred Espen,1969-

Modeling and pricing in financial markets for weather derivatives[electronic resource] /Fred Espen Benth, Jūrate Šaltytė Benth. - Singapore ;World Scientific,2013. - 1 online resource (xi, 242 p.) :ill. - Advanced series on statistical science & applied probability ;vol. 17. - Advanced series on statistical science & applied probability ;v. 11..

Includes bibliographical references and index.

"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.

ISBN: 9789814401852 (electronic bk.)Subjects--Topical Terms:

383703
Weather derivatives.
Index Terms--Genre/Form:

336502
Electronic books.

LC Class. No.: HG6052 / .B46 2013eb

Dewey Class. No.: 332.6457

Modeling and pricing in financial markets for weather derivatives[electronic resource] /
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300 $a 1 online resource (xi, 242 p.) : $b ill.
490 1 $a Advanced series on statistical science & applied probability ; $v vol. 17
504 $a Includes bibliographical references and index.
520 $a "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.
588 $a Description based on print version record.
650 0 $a Weather derivatives. $3 383703
650 0 $a Stocks $x Prices. $3 367117
655 0 $a Electronic books. $2 local $3 336502
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830 0 $a Advanced series on statistical science & applied probability ; $v v. 11. $3 348743
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