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Modeling and pricing in financial ma...

Benth, Fred Espen, (1969-)

Modeling and pricing in financial markets for weather derivatives

Record Type:	Electronic resources : Monograph/item
Title/Author:	Modeling and pricing in financial markets for weather derivativesFred Espen Benth, Jūrate Šaltytė Benth.
Author:	Benth, Fred Espen,
other author:	Saltyte Benth, Jurate.
Published:	Singapore ;World Scientific,2013.
Description:	1 online resource (xi, 242 p.) :ill.
Subject:	Weather derivatives.
Online resource:	http://www.worldscientific.com/worldscibooks/10.1142/8457#t=toc
ISBN:	9789814401852 (electronic bk.)

Modeling and pricing in financial markets for weather derivatives
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. 5..

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:

324126
Weather derivatives.
Index Terms--Genre/Form:

214472
Electronic books.

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

Dewey Class. No.: 332.6457

Modeling and pricing in financial markets for weather derivatives
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100 1 $a Benth, Fred Espen, $d 1969- $3 647780
245 1 0 $a Modeling and pricing in financial markets for weather derivatives $h [electronic resource] / $c Fred Espen Benth, Jūrate Šaltytė Benth.
260 $a Singapore ; $a New Jersey : $b World Scientific, $c 2013.
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 324126
650 0 $a Stocks $x Prices. $3 204557
655 0 $a Electronic books. $2 local. $3 214472
700 1 $a Saltyte Benth, Jurate. $3 647781
830 0 $a Advanced series on statistical science & applied probability ; $v v. 5. $3 439731
856 4 0 $u http://www.worldscientific.com/worldscibooks/10.1142/8457#t=toc