Pricing of Weather Derivatives: Basics, Concepts, and Method for Modeling of Surface Air Temperature - Softcover

Mandal, Anandadeep

 
9783843383417: Pricing of Weather Derivatives: Basics, Concepts, and Method for Modeling of Surface Air Temperature
Softcover
ISBN 10: 3843383413 ISBN 13: 9783843383417
Verlag: LAP LAMBERT Academic Publishing, 2010

Inhaltsangabe

The performance of many firms are exposed to the changes in weather. The industry sectors exposed to ?weather risk' are basic materials, consumer durables and agricultural industries. Amongst these the basic materials has mainly triggered the demand for the weather derivatives market and the rapid growth in the weather risk assessment industry. With this as the backdrop, this book formulates a pricing model for the weather derivatives, whose payoffs depend on surface air temperature. Daily temperature data for the last thirty years is closely analyzed for four cities in U.K. to model a temperature process which captures the daily temperature fluctuations including the seasonal patterns and the year-on- year up-ward trend behaviour of the temperature.This work further evaluates an arbitrage-free option pricing using a Gaussian Ornstein-Uhlenbeck model. Keeping in mind that temperature, the underlying variable of the weather derivative, is non-tradable we consider a risk premium estimator to find the price of a weather derivatives contract. Further, the book provides results based on these models as well as based on Monte Carlo Simulations.

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Reseña del editor

The performance of many firms are exposed to the changes in weather. The industry sectors exposed to 'weather risk' are basic materials, consumer durables and agricultural industries. Amongst these the basic materials has mainly triggered the demand for the weather derivatives market and the rapid growth in the weather risk assessment industry. With this as the backdrop, this book formulates a pricing model for the weather derivatives, whose payoffs depend on surface air temperature. Daily temperature data for the last thirty years is closely analyzed for four cities in U.K. to model a temperature process which captures the daily temperature fluctuations including the seasonal patterns and the year-on- year up-ward trend behaviour of the temperature.This work further evaluates an arbitrage-free option pricing using a Gaussian Ornstein-Uhlenbeck model. Keeping in mind that temperature, the underlying variable of the weather derivative, is non-tradable we consider a risk premium estimator to find the price of a weather derivatives contract. Further, the book provides results based on these models as well as based on Monte Carlo Simulations.

Biografía del autor

Prof.A.Mandal holds a M.Sc. degree from the Durham University, UK. He is an engineer and a MBA in finance from India. He has done extensive work in research and analysis through professional experience and academic publications. He has published 12 international articles and has 33 conference proceedings in the field of quantitative finance.

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Verlag
LAP LAMBERT Academic Publishing
Erscheinungsdatum
2010
Sprache
Englisch
ISBN 10 
3843383413
ISBN 13 
9783843383417
Einband
Tapa blanda
Anzahl der Seiten
76
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Verantwortliche Person
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