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

This book, first published in 2005, covers meteorological, statistical, financial and mathematical issues arising in the pricing and risk management of weather derivatives.

Stephen Jewson (Author), Anders Brix (Author), Christine Ziehmann (Contributions by)

9780521142281, Cambridge University Press

Paperback, published 10 June 2010

392 pages
24.4 x 17 x 2 cm, 0.62 kg

Review of the hardback: 'The book covers all of the latest topics in weather derivative pricing, valuation and risk management in a way that is rigorous, and yet also accessible to the non-mathematician. Highly recommended for all involved in weather derivatives, whether they are hedgers, traders, investors, marketers or risk managers.' Martin Jones, Chief Investment Officer, Coriolis Capital Limited

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.

List of figures
List of tables
Acknowledgements
1. Weather derivatives and the weather derivatives market
2. Data cleaning and trends
3. The valuation of single contracts using burn analysis
4. The valuation of single contracts using index modelling
5. Further topics in the valuation of single contracts
6. Valuation of single contracts using daily methods
7. Modelling portfolios
8. Managing portfolios
9. Introduction to meteorological forecasts
10. The use of meteorological forecasts in pricing
11. Arbitrage pricing models
12. Risk management
13. Modelling non-temperature data
Appendices
References
Index.

Subject Areas: Meteorology & climatology [RBP], Applied mathematics [PBW], Finance & accounting [KF], Economic statistics [KCHS]