Modeling And Pricing In Financial Markets For Weather Derivatives

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Modeling and Pricing in Financial Markets for Weather Derivatives

Author : Fred Espen Benth
Publisher : World Scientific
ISBN 13 : 9814401846
Total Pages : 255 pages
Book Rating : 4.8/5 (144 download)

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Book Synopsis Modeling and Pricing in Financial Markets for Weather Derivatives by : Fred Espen Benth

Download or read book Modeling and Pricing in Financial Markets for Weather Derivatives written by Fred Espen Benth and published by World Scientific. This book was released on 2013 with total page 255 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 are 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.

Weather Derivatives

Author : Antonis Alexandridis K.
Publisher : Springer Science & Business Media
ISBN 13 : 1461460719
Total Pages : 310 pages
Book Rating : 4.4/5 (614 download)

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Book Synopsis Weather Derivatives by : Antonis Alexandridis K.

Download or read book Weather Derivatives written by Antonis Alexandridis K. and published by Springer Science & Business Media. This book was released on 2012-11-30 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Weather Derivative Valuation

Author : Stephen Jewson
Publisher : Cambridge University Press
ISBN 13 : 1139444514
Total Pages : 393 pages
Book Rating : 4.1/5 (394 download)

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Book Synopsis Weather Derivative Valuation by : Stephen Jewson

Download or read book Weather Derivative Valuation written by Stephen Jewson and published by Cambridge University Press. This book was released on 2005-03-10 with total page 393 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Commodities and Commodity Derivatives

Author : Helyette Geman
Publisher : John Wiley & Sons
ISBN 13 : 0470687738
Total Pages : 479 pages
Book Rating : 4.4/5 (76 download)

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Book Synopsis Commodities and Commodity Derivatives by : Helyette Geman

Download or read book Commodities and Commodity Derivatives written by Helyette Geman and published by John Wiley & Sons. This book was released on 2009-09-24 with total page 479 pages. Available in PDF, EPUB and Kindle. Book excerpt: The last few years have been a watershed for the commodities, cash and derivatives industry. New regulations and products have led to an explosion in the commodities markets, creating a new asset for investors that includes hedge funds as well as University endowments, and has resulted in a spectacular growth in spot and derivative trading. This book covers hard and soft commodities (energy, agriculture and metals) and analyses: Economic and geopolitical issues in commodities markets Commodity price and volume risk Stochastic modelling of commodity spot prices and forward curves Real options valuation and hedging of physical assets in the energy industry It is required reading for energy companies and utilities practitioners, commodity cash and derivatives traders in investment banks, the Agrifood business, Commodity Trading Advisors (CTAs) and Hedge Funds. In Commodities and Commodity Derivatives, Hélyette Geman shows her powerful command of the subject by combining a rigorous development of its mathematical modelling with a compact institutional presentation of the arcane characteristics of commodities that makes the complex analysis of commodities derivative securities accessible to both the academic and practitioner who wants a deep foundation and a breadth of different market applications. It is destined to be a "must have" on the subject.” —Robert Merton, Professor, Harvard Business School "A marvelously comprehensive book of interest to academics and practitioners alike, by one of the world's foremost experts in the field." —Oldrich Vasicek, founder, KMV

Indifference Pricing

Author : René Carmona
Publisher : Princeton University Press
ISBN 13 : 0691138834
Total Pages : 427 pages
Book Rating : 4.6/5 (911 download)

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Book Synopsis Indifference Pricing by : René Carmona

Download or read book Indifference Pricing written by René Carmona and published by Princeton University Press. This book was released on 2009-01-18 with total page 427 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the first book about the emerging field of utility indifference pricing for valuing derivatives in incomplete markets. René Carmona brings together a who's who of leading experts in the field to provide the definitive introduction for students, scholars, and researchers. Until recently, financial mathematicians and engineers developed pricing and hedging procedures that assumed complete markets. But markets are generally incomplete, and it may be impossible to hedge against all sources of randomness. Indifference Pricing offers cutting-edge procedures developed under more realistic market assumptions. The book begins by introducing the concept of indifference pricing in the simplest possible models of discrete time and finite state spaces where duality theory can be exploited readily. It moves into a more technical discussion of utility indifference pricing for diffusion models, and then addresses problems of optimal design of derivatives by extending the indifference pricing paradigm beyond the realm of utility functions into the realm of dynamic risk measures. Focus then turns to the applications, including portfolio optimization, the pricing of defaultable securities, and weather and commodity derivatives. The book features original mathematical results and an extensive bibliography and indexes. In addition to the editor, the contributors are Pauline Barrieu, Tomasz R. Bielecki, Nicole El Karoui, Robert J. Elliott, Said Hamadène, Vicky Henderson, David Hobson, Aytac Ilhan, Monique Jeanblanc, Mattias Jonsson, Anis Matoussi, Marek Musiela, Ronnie Sircar, John van der Hoek, and Thaleia Zariphopoulou. The first book on utility indifference pricing Explains the fundamentals of indifference pricing, from simple models to the most technical ones Goes beyond utility functions to analyze optimal risk transfer and the theory of dynamic risk measures Covers non-Markovian and partially observed models and applications to portfolio optimization, defaultable securities, static and quadratic hedging, weather derivatives, and commodities Includes extensive bibliography and indexes Provides essential reading for PhD students, researchers, and professionals

The Pricing of Weather Derivatives Including Meteorological Forecasts

Author : Elena Parmigiani
Publisher :
ISBN 13 : 9783656600596
Total Pages : 48 pages
Book Rating : 4.6/5 (5 download)

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Book Synopsis The Pricing of Weather Derivatives Including Meteorological Forecasts by : Elena Parmigiani

Download or read book The Pricing of Weather Derivatives Including Meteorological Forecasts written by Elena Parmigiani and published by . This book was released on 2014-03-04 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bachelor Thesis from the year 2013 in the subject Business economics - Investment and Finance, grade: 4/4, language: English, abstract: 1. Abstract This paper analyses weather derivatives and the issue of pricing these financial instruments. The non-tradability of the underlying makes their pricing not straightforward and even if the Chicago Mercantile Exchange began trading the first weather contract in 1999, the market still witnesses very low volumes and is relatively illiquid. This theoretical analysis is focused on instruments whose underlying is temperature, since they are the most traded. Due to the assumption of informational efficient markets, all available information should theoretically be included in the prices. However most existing models focus only on historical observations of temperature, actually excluding some relevant information. The few models that have instead considered weather forecasts are analysed, and in particular the model introduced by Ritter, Musshoff, and Odening to price temperature monthly futures including weather forecasts is described in details. I've performed an analysis applying a simplified version of the model described, based on temperature data from Tampa, Florida, in 2007. The results show that models with meteorological forecasts indeed outperform models that ignore them.

Commodity Price Dynamics

Author : Craig Pirrong
Publisher : Cambridge University Press
ISBN 13 : 1139501976
Total Pages : 238 pages
Book Rating : 4.1/5 (395 download)

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Book Synopsis Commodity Price Dynamics by : Craig Pirrong

Download or read book Commodity Price Dynamics written by Craig Pirrong and published by Cambridge University Press. This book was released on 2011-10-31 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.

Actuarial Finance

Author : Mathieu Boudreault
Publisher : John Wiley & Sons
ISBN 13 : 1119137004
Total Pages : 597 pages
Book Rating : 4.1/5 (191 download)

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Book Synopsis Actuarial Finance by : Mathieu Boudreault

Download or read book Actuarial Finance written by Mathieu Boudreault and published by John Wiley & Sons. This book was released on 2019-04-09 with total page 597 pages. Available in PDF, EPUB and Kindle. Book excerpt: A new textbook offering a comprehensive introduction to models and techniques for the emerging field of actuarial Finance Drs. Boudreault and Renaud answer the need for a clear, application-oriented guide to the growing field of actuarial finance with this volume, which focuses on the mathematical models and techniques used in actuarial finance for the pricing and hedging of actuarial liabilities exposed to financial markets and other contingencies. With roots in modern financial mathematics, actuarial finance presents unique challenges due to the long-term nature of insurance liabilities, the presence of mortality or other contingencies and the structure and regulations of the insurance and pension markets. Motivated, designed and written for and by actuaries, this book puts actuarial applications at the forefront in addition to balancing mathematics and finance at an adequate level to actuarial undergraduates. While the classical theory of financial mathematics is discussed, the authors provide a thorough grounding in such crucial topics as recognizing embedded options in actuarial liabilities, adequately quantifying and pricing liabilities, and using derivatives and other assets to manage actuarial and financial risks. Actuarial applications are emphasized and illustrated with about 300 examples and 200 exercises. The book also comprises end-of-chapter point-form summaries to help the reader review the most important concepts. Additional topics and features include: Compares pricing in insurance and financial markets Discusses event-triggered derivatives such as weather, catastrophe and longevity derivatives and how they can be used for risk management; Introduces equity-linked insurance and annuities (EIAs, VAs), relates them to common derivatives and how to manage mortality for these products Introduces pricing and replication in incomplete markets and analyze the impact of market incompleteness on insurance and risk management; Presents immunization techniques alongside Greeks-based hedging; Covers in detail how to delta-gamma/rho/vega hedge a liability and how to rebalance periodically a hedging portfolio. This text will prove itself a firm foundation for undergraduate courses in financial mathematics or economics, actuarial mathematics or derivative markets. It is also highly applicable to current and future actuaries preparing for the exams or actuary professionals looking for a valuable addition to their reference shelf. As of 2019, the book covers significant parts of the Society of Actuaries’ Exams FM, IFM and QFI Core, and the Casualty Actuarial Society’s Exams 2 and 3F. It is assumed the reader has basic skills in calculus (differentiation and integration of functions), probability (at the level of the Society of Actuaries’ Exam P), interest theory (time value of money) and, ideally, a basic understanding of elementary stochastic processes such as random walks.

Pricing of Weather Derivatives

Author : Shih-Ying Lee
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Pricing of Weather Derivatives by : Shih-Ying Lee

Download or read book Pricing of Weather Derivatives written by Shih-Ying Lee and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Derivatives

Author : Paul Wilmott
Publisher : Wiley
ISBN 13 : 9780471986706
Total Pages : 252 pages
Book Rating : 4.9/5 (867 download)

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Book Synopsis Derivatives by : Paul Wilmott

Download or read book Derivatives written by Paul Wilmott and published by Wiley. This book was released on 1999-02-05 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt: Derivatives by Paul Wilmott provides the most comprehensive and accessible analysis of the art of science in financial modeling available. Wilmott explains and challenges many of the tried and tested models while at the same time offering the reader many new and previously unpublished ideas and techniques. Paul Wilmott has produced a compelling and essential new work in this field. The basics of the established theories-such as stochastic calculus, Black-Scholes, binomial trees and interest-rate models-are covered in clear and precise detail, but Derivatives goes much further. Complex models-such as path dependency, non-probabilistic models, static hedging and quasi-Monte Carlo methods-are introduced and explained to a highly sophisticated level. But theory in itself is not enough, an understanding of the role the techniques play in the daily world of finance is also examined through the use of spreadsheets, examples and the inclusion of Visual Basic programs. The book is divided into six parts: Part One: acts as an introduction and explanation of the fundamentals of derivatives theory and practice, dealing with the equity, commodity and currency worlds. Part Two: takes the mathematics of Part One to a more complex level, introducing the concept of path dependency. Part Three: concerns extensions of the Black-Scholes world, both classic and modern. Part Four: deals with models for fixed-income products. Part Five: describes models for risk management and measurement. Part Six: delivers the numerical methods required for implementing the models described in the rest of the book. Derivatives also includes a CD containing a wide variety of implementation material related to the book in the form of spreadsheets and executable programs together with resource material such as demonstration software and relevant contributed articles. At all times the style remains readable and compelling making Derivatives the essential book on every finance shelf.

The Science Of Financial Market Trading

Author : Don K Mak
Publisher : World Scientific
ISBN 13 : 9814486841
Total Pages : 261 pages
Book Rating : 4.8/5 (144 download)

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Book Synopsis The Science Of Financial Market Trading by : Don K Mak

Download or read book The Science Of Financial Market Trading written by Don K Mak and published by World Scientific. This book was released on 2003-03-19 with total page 261 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book, Dr Mak views the financial market from a scientific perspective. The book attempts to provide a realistic description of what the market is, and how future research should be developed. The market is a complex phenomenon, and can be forecasted only with errors — if that particular market can be forecasted at all.The book reviews the scientific literatures on the financial market and describes mathematical procedures which demonstrate that some markets are non-random. How the markets are modeled — phenomenologically and from first principle — is explained.It discusses indicators, which are quite objective, rather than price patterns, which are rather subjective. Similarities between indicators in market trading and operators in mathematics are noted, and particularly, between oscillator indicators and derivatives in Calculus. It illustrates why some indicators, e.g., Stochastics, have limited usage. Several new indicators are designed and tested on theoretical waveforms to check their validity and applicability. The indicators have a minimal time lag, which is significant for trading purposes. Common market behaviors like divergences between price and momentum are explained. A skipped convolution technique is introduced to allow traders to pick up market movements at an earlier time. The market is treated as a nonlinear phenomenon. Forecasting of when the market is going to turn is emphasized.

Dynamic Valuation of Weather Derivatives Under Default Risk

Author : Wolfgang K. Härdle
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (119 download)

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Book Synopsis Dynamic Valuation of Weather Derivatives Under Default Risk by : Wolfgang K. Härdle

Download or read book Dynamic Valuation of Weather Derivatives Under Default Risk written by Wolfgang K. Härdle and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Managing Climate Risk in the U.S. Financial System

Author : Leonardo Martinez-Diaz
Publisher : U.S. Commodity Futures Trading Commission
ISBN 13 : 057874841X
Total Pages : 196 pages
Book Rating : 4.5/5 (787 download)

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Book Synopsis Managing Climate Risk in the U.S. Financial System by : Leonardo Martinez-Diaz

Download or read book Managing Climate Risk in the U.S. Financial System written by Leonardo Martinez-Diaz and published by U.S. Commodity Futures Trading Commission . This book was released on 2020-09-09 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt: This publication serves as a roadmap for exploring and managing climate risk in the U.S. financial system. It is the first major climate publication by a U.S. financial regulator. The central message is that U.S. financial regulators must recognize that climate change poses serious emerging risks to the U.S. financial system, and they should move urgently and decisively to measure, understand, and address these risks. Achieving this goal calls for strengthening regulators’ capabilities, expertise, and data and tools to better monitor, analyze, and quantify climate risks. It calls for working closely with the private sector to ensure that financial institutions and market participants do the same. And it calls for policy and regulatory choices that are flexible, open-ended, and adaptable to new information about climate change and its risks, based on close and iterative dialogue with the private sector. At the same time, the financial community should not simply be reactive—it should provide solutions. Regulators should recognize that the financial system can itself be a catalyst for investments that accelerate economic resilience and the transition to a net-zero emissions economy. Financial innovations, in the form of new financial products, services, and technologies, can help the U.S. economy better manage climate risk and help channel more capital into technologies essential for the transition. https://doi.org/10.5281/zenodo.5247742

Derivatives in Financial Markets with Stochastic Volatility

Author : Jean-Pierre Fouque
Publisher : Cambridge University Press
ISBN 13 : 9780521791632
Total Pages : 222 pages
Book Rating : 4.7/5 (916 download)

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Book Synopsis Derivatives in Financial Markets with Stochastic Volatility by : Jean-Pierre Fouque

Download or read book Derivatives in Financial Markets with Stochastic Volatility written by Jean-Pierre Fouque and published by Cambridge University Press. This book was released on 2000-07-03 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book, first published in 2000, addresses pricing and hedging derivative securities in uncertain and changing market volatility.

Financial Derivatives

Author : Jamil Baz
Publisher : Cambridge University Press
ISBN 13 : 9780521815109
Total Pages : 358 pages
Book Rating : 4.8/5 (151 download)

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Book Synopsis Financial Derivatives by : Jamil Baz

Download or read book Financial Derivatives written by Jamil Baz and published by Cambridge University Press. This book was released on 2004-01-12 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: Publisher Description

Climate Risk and the Weather Market

Author : Robert S. Dischel
Publisher :
ISBN 13 : 9781899332526
Total Pages : 325 pages
Book Rating : 4.3/5 (325 download)

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Book Synopsis Climate Risk and the Weather Market by : Robert S. Dischel

Download or read book Climate Risk and the Weather Market written by Robert S. Dischel and published by . This book was released on 2002 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides a highly accessible and complete coverage of weather risk management as seen from the perspective of practitioners, consultants and academics.

Weather Derivatives

Author : S. Volker
Publisher : GRIN Verlag
ISBN 13 : 3638710025
Total Pages : 77 pages
Book Rating : 4.6/5 (387 download)

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Book Synopsis Weather Derivatives by : S. Volker

Download or read book Weather Derivatives written by S. Volker and published by GRIN Verlag. This book was released on 2007-08 with total page 77 pages. Available in PDF, EPUB and Kindle. Book excerpt: Research Paper (undergraduate) from the year 2006 in the subject Business economics - Investment and Finance, grade: 1,7, University of Applied Sciences Essen, course: Case study in the core subject International Management - Risk Management, language: English, abstract: The ability to hedge price risks of industrial and consumer goods is well-developed an widely used, but, for many customers and companies, a variance in the unit volume being caused by a unexpected weather situation can be as detrimental to the bottom line as unit price variation. In the past, market participants were exposed defencelessly to this risk, because "weather has been anything but predictable..." There was bundle of incidents in the late 90's which lead to the development of weather derivatives as a new, flexible instrument to mitigate risk resulting from weather: First, the changing world climate causes more often extreme weather situations such as El Nino. Weather catastrophes like the hurricanes Katrina and Rita in the USA, summer flood of 2002 and the desert summer of 2003 in Germany have been increasing the awareness of weather risks among the population and in the management of the companies. Unforeseen weather conditions may cause a decline in companies' earnings. It is likely to imagine, that, for example, a cold and rainy summer will lead to a plummeting consumption of ice cream. In times of an upward tending importance of the shareholder value approach, a professional and effective risk management is inalienable. Insurance policies can cover catastrophic damages, but derivatives are an efficient tool to face financial risks resulting from the weather and to stabilize earnings. Secondly, the worldwide markets are changing. Formerly strictly regulated markets show an ongoing trend of deregulation and therefore a development from monopolies to wholesale markets. Facing a new, competitive situation, companies have to realize, that it does not last to hedge the unit price of their go