Weather Derivatives

Modeling and Pricing Weather-Related Risk
2013
ISBN: 978-1-4614-6070-1
Verlag: Springer

Buch, Englisch, 300 Seiten, HC gerader Rücken kaschiert, Format (B × H): 160 mm x 241 mm, Gewicht: 641 g

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.

Zielgruppe

Graduate

Autoren/Hrsg.

Zapranis, Achilleas D.

Alexandridis K., Antonis

Fachgebiete

• Wirtschaftswissenschaften Betriebswirtschaft Unternehmensfinanzen Finanzierung, Investition, Leasing
• Wirtschaftswissenschaften Betriebswirtschaft Management Risikomanagement
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere
• Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik
• Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Internationale Finanzmärkte
• Wirtschaftswissenschaften Volkswirtschaftslehre Internationale Wirtschaft Internationale Finanzmärkte

Inhaltsverzeichnis

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.