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Weather Derivative Valuation - The Meteorological, Statistical, Financial and Mathematical Foundations (Hardcover, New)
Loot Price: R2,880
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Weather Derivative Valuation - The Meteorological, Statistical, Financial and Mathematical Foundations (Hardcover, New)
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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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