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Weather Derivative Valuation :The Me...

Brix, Anders.

Weather Derivative Valuation :The Meteorological, Statistical, Financial and Mathematical Foundations.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Weather Derivative Valuation :
其他題名:	The Meteorological, Statistical, Financial and Mathematical Foundations.
作者:	Jewson, Stephen.
其他作者:	Brix, Anders.
出版者:	Cambridge :Cambridge University Press,2005.
面頁冊數:	393 p.
標題:	Weather derivatives.
電子資源:	Click here to view book
ISBN:	9780511493348 (electronic bk.)

Weather Derivative Valuation :The Meteorological, Statistical, Financial and Mathematical Foundations.
Jewson, Stephen.

Weather Derivative Valuation :The Meteorological, Statistical, Financial and Mathematical Foundations.[electronic resource]. - Cambridge :Cambridge University Press,2005. - 393 p.

Cover; Half-title; Title; Copyright; Contents; Figures; Tables; Acknowledgements; 1 Weather derivatives and the weather derivatives market; 1.1 Introduction; 1.2 Weather variables and indices; 1.3 Derivative pay-offs; 1.4 Principles of valuation; 1.5 The correlation between weather and the stock market; 1.6 Overview of contents; 1.7 Notes on citations; 1.8 Further reading; 2 Data cleaning and trends; 2.1 Data cleaning; 2.2 The sources of trends in meteorological data; 2.3 Removing trends in practice; 2.4 What kind of trend and how many years of historical data to use?; 2.5 Conclusions

Covers the meteorological, statistical, financial and mathematical issues that arise in the pricing and risk management of weather derivatives. 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.

Electronic reproduction.

Available via World Wide Web.

Mode of access: World Wide Web.

ISBN: 9780511493348 (electronic bk.)Subjects--Topical Terms:

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

214472
Electronic books.

LC Class. No.: HG6052 .J49 2005eb

Dewey Class. No.: 332.64/57

Weather Derivative Valuation :The Meteorological, Statistical, Financial and Mathematical Foundations.
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245 1 0 $a Weather Derivative Valuation : $b The Meteorological, Statistical, Financial and Mathematical Foundations. $h [electronic resource].
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300 $a 393 p.
505 0 $a Cover; Half-title; Title; Copyright; Contents; Figures; Tables; Acknowledgements; 1 Weather derivatives and the weather derivatives market; 1.1 Introduction; 1.2 Weather variables and indices; 1.3 Derivative pay-offs; 1.4 Principles of valuation; 1.5 The correlation between weather and the stock market; 1.6 Overview of contents; 1.7 Notes on citations; 1.8 Further reading; 2 Data cleaning and trends; 2.1 Data cleaning; 2.2 The sources of trends in meteorological data; 2.3 Removing trends in practice; 2.4 What kind of trend and how many years of historical data to use?; 2.5 Conclusions
505 8 $a 2.6 Further reading3 The valuation of single contracts using burn analysis; 3.1 Burn analysis; 3.2 Further reading; 4 The valuation of single contracts using index modelling; 4.1 Statistical modelling methods; 4.2 Modelling the index distribution; 4.3 Parametric distributions; 4.4 Non-parametric distributions; 4.5 Estimating the pay-off distribution and the expected pay-offs; 5 Further topics in the valuation of single contracts; 5.1
520 $a Covers the meteorological, statistical, financial and mathematical issues that arise in the pricing and risk management of weather derivatives. 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.
533 $a Electronic reproduction. $n Available via World Wide Web.
538 $a Mode of access: World Wide Web.
650 4 $a Weather derivatives. $3 324126
655 7 $a Electronic books. $2 local. $3 214472
700 1 $a Brix, Anders. $3 324123
700 1 $a Ziehmann, Christine. $3 324124
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856 4 0 $z Click here to view book $u http://dx.doi.org/10.1017/CBO9780511493348