Weather Derivative Valuation

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Weather Derivative Valuation

Author : Stephen Jewson
ISBN : 1139444514
Genre : Business & Economics
File Size : 75.27 MB
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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.
Category: Business & Economics

Modeling And Pricing In Financial Markets For Weather Derivatives

Author : Fred Espen Benth
ISBN : 9789814401852
Genre : Business & Economics
File Size : 52.86 MB
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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.
Category: Business & Economics

Weather Derivatives

Author : Antonis Alexandridis K.
ISBN : 9781461460718
Genre : Business & Economics
File Size : 63.63 MB
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​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. ​
Category: Business & Economics

Derivatives And Risk Management

ISBN : 9788120352308
Genre : Business & Economics
File Size : 58.7 MB
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The book, in its Second Editioncontinues to present a detailed analysis of theoretical concepts and practical approach on derivatives—options, futures, forwards and swaps. It provides a deeper insight into the conceptual background as well as practical application of derivatives. Apart from discussing stock, index and commodity derivatives, it also discusses currency, energy, weather and credit derivatives that are of recent origin in the field of derivatives trading. Three new chapters on Different Types of Market Structures and Derivatives and Operational Aspects of Derivatives Chapter 2),Regulation of Derivatives in India (Chapter 6) and Linkage between Spot Market and Derivatives Market (Chapter 14) have been added in this edition. Whereas an Appendix—Derivatives from The Lenses of Mishaps gives insights on scams which took place in the past. Practical application of derivatives like trading practices, margin system, valuation of options and futures, linkage between spot market and derivatives market have been discussed using real-life stock and commodity prices. The book features application of derivatives in designing risk management, i.e., hedging strategies and profit maximisation strategies in a lively manner citing real-life data-based examples in a simulated environment. The text contains a good number of examples as well as chapter-end questions for practice on topics like valuation of options and futures, strategic application of derivatives in risk management and profit maximisation in different market swings—upswing, downswing and range-bound movement in the market. This is a comprehensive yet easy to understand text for the students of MBA/PGDBM/CA/CS/NCFM and other related postgraduate courses. SALIENT FEATURES Solved examples and unsolved questions—multiple choice, theoretical and numerical Glossary of key words to help students in understanding the terminologies Separate question bank on valuation and strategic application of derivatives Solutions manual available for instructors PowerPoint Slides available online at to provide integrated learning to the student
Category: Business & Economics

Commodities And Commodity Derivatives

Author : Helyette Geman
ISBN : 0470687738
Genre : Business & Economics
File Size : 80.94 MB
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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
Category: Business & Economics

American Style Derivatives

Author : Jerome Detemple
ISBN : 9781420034868
Genre : Mathematics
File Size : 84.45 MB
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While the valuation of standard American option contracts has now achieved a fair degree of maturity, much work remains to be done regarding the new contractual forms that are constantly emerging in response to evolving economic conditions and regulations. Focusing on recent developments in the field, American-Style Derivatives provides an extensive treatment of option pricing with an emphasis on the valuation of American options on dividend-paying assets. The book begins with a review of valuation principles for European contingent claims in a financial market in which the underlying asset price follows an Ito process and the interest rate is stochastic and then extends the analysis to American contingent claims. In this context the author lays out the basic valuation principles for American claims and describes instructive representation formulas for their prices. The results are applied to standard American options in the Black-Scholes market setting as well as to a variety of exotic contracts such as barrier, capped, and multi-asset options. He also reviews numerical methods for option pricing and compares their relative performance. The author explains all the concepts using standard financial terms and intuitions and relegates proofs to appendices that can be found at the end of each chapter. The book is written so that the material is easily accessible not only to those with a background in stochastic processes and/or derivative securities, but also to those with a more limited exposure to those areas.
Category: Mathematics

Valuation Hedging And Speculation In Competitive Electricity Markets

Author : Petter L. Skantze
ISBN : 0792375289
Genre : Business & Economics
File Size : 58.60 MB
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The challenges facing participants in competitive electricity markets are staggering: high price volatility introduces significant financial risk into an industry accustomed to guaranteed rates of return, while illiquid forward markets prevent effective hedging strategies from being implemented. Valuation, Hedging and Speculation in Competitive Electricity Markets: A Fundamental Approach, examines the unique properties which separate electricity from other traded commodities, including the lack of economical storage, and the impact of a scarce transmission network. The authors trace the sources of uncertainties in the price of electricity to underlying physical and economic processes, and incorporate these into a bid-based model for electricity spot and forward prices. They also illustrate how insufficient market data can be circumvented by using a combination of price and load data in the marking- to-market process. The model is applied to three classes of problems central to the operation of any electric utility or power marketer; valuing generation assets, formulating dynamic hedging strategies for load serving obligations, and pricing transmission contracts and locational spread options. Emphasis is placed on the difference between trades which can be 'booked out' in the forward markets, and those which must be carried through to delivery. Lately, significant attention has been given to the role of regulators in mitigating excessive price levels in electricity markets. The authors conduct a quantitative analysis of the long-term effects of regulatory intervention through the use of price caps. By modeling the dynamic interplay between the observed price levels and the decision to invest in new generation assets, it is shown how such short term fixes can lead to long term deficits in the available generation capacity, and ultimately to market failures and blackouts.
Category: Business & Economics

Modern Financial Techniques Derivatives And Law

Author : Southern Methodist University. Institute of International Banking and Finance
ISBN : 9789041197818
Genre : Law
File Size : 42.23 MB
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This work examines both the UK and international regulation, as well as the case law and legislation affecting a wide spectrum of modern financial techniques. Within the scope of those financial techniques are the broad range of instruments, structures and contracts deployed by global financial markets in relation to corporate customers, sovereign entities and other public sector bodies. The essays in this collection are concerned with the nature of the modernity of financial products like derivatives, and the particularly acute challenge that they pose both to the control of financial markets by private law and by established means of regulation. Much of the book focuses on derivatives as exemplars of this broader context. The authors analyse practical and theoretical issues as diverse as credit derivatives, dematerialised securities, the ISDA EMU protocol, and the OTC derivatives market, as well as the regulation of financial products, the economics of financial techniques, and the international regulatory framework. They examine issues of private law, including the legal implications of immobilisation and dematerialisation in collateral transactions, seller liability in credit derivatives markets and fraud. The essays examine the benefits and shortcomings of various legal mechanisms and methods of financial regulation, and suggest new approaches to the questions facing the law of international finance. The essays in this book arose out of the W.G. Hart workshop on Transnational Corporate Finance and the Challenge to the Law held at the Institute of Advanced Legal Studies in London in 1998.
Category: Law


Author :
ISBN : UCSD:31822009748450
Genre : Adaptation (Biology)
File Size : 86.67 MB
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Category: Adaptation (Biology)

Farmers Preferences For Climate Smart Agriculture

Author : Taneja, Garima
Genre : Social Science
File Size : 40.28 MB
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This study was undertaken to assess farmers’ preferences and willingness to pay (WTP) for various climate-smart interventions in the Indo-Gangetic Plain. The research outputs will be helpful in integrating farmers’ choices with government programs in the selected regions. The Indo-Gangetic Plain (IGP) was selected because it is highly vulnerable to climate change, which may adversely affect the sustainability of the rice-wheat production system and the food security of the region. Climate-smart agriculture (CSA) can mitigate the negative impacts of climate change and improve the efficiency of the rice-wheat-based production system. CSA requires a complete package of practices to achieve the desired objectives, but adoption is largely dependent on farmers’ preferences and their capacity and WTP. To assess farmers’ choices and their WTP for the potential climate-smart technologies and other interventions, we used scoring and bidding protocols implemented through focus group meetings in two distinct regions of Eastern and Western IGP. We find that laser land leveling (LLL), crop insurance, and weather advisory services were the preferred interventions in Eastern IGP. Farmers preferred LLL, direct seeding, zero tillage, irrigation scheduling, and crop insurance in Western IGP. Through the bidding approach, farmers implicitly express their WTP for new technologies that could transform current agricultural practices into relatively low-carbon and more productive farming methods. But actual large-scale adoption of the preferred climate-smart technologies and other interventions would require access to funding as well as capacity building among technology promoters and users.
Category: Social Science


Author :
ISBN : CORNELL:31924087462168
Genre : Risk management
File Size : 48.30 MB
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Category: Risk management

Swaps Financial Derivatives

Author : Satyajit Das
ISBN : CORNELL:31924098247111
Genre : Derivative securities
File Size : 51.40 MB
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The emphasis is on actual transactions that are stripped down to analyse and illustrate the dynamics of individual structures and to understand the types of products available. The text is structured either to be read through from start to finish, or to be used as a reference source. Australian author.
Category: Derivative securities

Futures Otc World

Author :
ISBN : CORNELL:31924083434351
Genre : Futures market
File Size : 80.99 MB
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Category: Futures market

Understanding Derivatives

Author : Robert Strong
ISBN : 0734612567
Genre : Business & Economics
File Size : 33.56 MB
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Although most universities now have an undergraduate derivatives course, many instructors were, and still are, in desperate need of a book with coverage that is both adequate and accessible - as most textbooks on financial derivatives are either too basic or too advanced for undergraduate students.Understanding Derivatives: Options, Futures, Swaps, MBSs, CDOs and Others, First Edition, provides a broad introduction to the options, futures, swaps and interest rate options markets, and also provides the intuition needed to understand the fundamental mathematics of pricing. In addition, coverage of innovative derivative products such as exotic options, weather derivatives, catastrophe futures and volatility spreads has not been neglected. We cover these concepts - without delving into their pricing or valuation - and conclude with a contemporary issues chapter that discusses the latest developments in the field.This book presents a good balance of theory and practice. It is important for a student of the derivatives market to understand how arbitrage arguments lead to rational option pricing, why the cost of carry is crucial to futures pricing, and how a swap dealer determines the fixed rate on an interest rate swap. These are enjoyable topics to learn about, and motivated finance students can find them fascinating. At the same time, it is equally important to understand how the end-user makes intelligent use of these products as risk management tools. Additionally, a variety of application examples are included from the perspective of both the speculator and the hedger.
Category: Business & Economics