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Weather Derivative Valuation

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  • Jewson,Stephen
  • Brix,Anders With contributions by-Name:Ziehmann,Christine
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    Abstract

    Originally published in 2005, Weather Derivative Valuation covers all the meteorological, statistical, financial and mathematical issues that arise in the pricing and risk management of weather derivatives. There are chapters on meteorological data and data cleaning, the modelling and pricing of single weather derivatives, the modelling and valuation of portfolios, the use of weather and seasonal forecasts in the pricing of weather derivatives, arbitrage pricing for weather derivatives, risk management, and the modelling of temperature, wind and precipitation. Specific issues covered in detail include the analysis of uncertainty in weather derivative pricing, time-series modelling of daily temperatures, the creation and use of probabilistic meteorological forecasts and the derivation of the weather derivative version of the Black-Scholes equation of mathematical finance. Written by consultants who work within the weather derivative industry, this book is packed with practical information and theoretical insight into the world of weather derivative pricing.

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    Bibliographic Info

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    This book is provided by Cambridge University Press in its series Cambridge Books with number 9780521843713 and published in 2005.

    Order: http://www.cambridge.org/uk/catalogue/catalogue.asp?isbn=9780521843713
    Handle: RePEc:cup:cbooks:9780521843713

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    Web page: http://www.cambridge.org

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    Cited by:
    1. Caporin, Massimiliano & PreÅ›, Juliusz, 2012. "Modelling and forecasting wind speed intensity for weather risk management," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 56(11), pages 3459-3476.
    2. Ahčan, Aleš, 2012. "Statistical analysis of model risk concerning temperature residuals and its impact on pricing weather derivatives," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 131-138.
    3. Å altytÄ— Benth, JÅ«ratÄ— & Benth, Fred Espen, 2012. "A critical view on temperature modelling for application in weather derivatives markets," Energy Economics, Elsevier, Elsevier, vol. 34(2), pages 592-602.
    4. Gordon Woo, 2008. "Probabilistic criteria for volcano evacuation decisions," Natural Hazards, International Society for the Prevention and Mitigation of Natural Hazards, International Society for the Prevention and Mitigation of Natural Hazards, vol. 45(1), pages 87-97, April.
    5. Andreas Groll & Brenda López-Cabrera & Thilo Meyer-Brandis, 2014. "A consistent two-factor model for pricing temperature derivatives," SFB 649 Discussion Papers SFB649DP2014-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    6. Buchholz, Matthias & Musshoff, Oliver, 2014. "The role of weather derivatives and portfolio effects in agricultural water management," 2014 Conference (58th), February 4-7, 2014, Port Maquarie, Australia, Australian Agricultural and Resource Economics Society 165812, Australian Agricultural and Resource Economics Society.

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