Author: Jewson, Stephen & Brix, Anders
Title: Weather Derivative Valuation: The Meteorological, Statistical, Financial & Mathematical Foundations
Description: Cambridge, Cambridge University Press, (2005). orig.boards. 25x17cm, xvii,373 pp, Small ink mark to side-page-edge.. Textual graphs.. Minor rubbing. Small dent to front cover edge. VG. ¶ Contents: Weather Derivatives & the Weather Derivatives Market; Data Cleaning & Trends; The Valuation of Single Contracts Using Burn Analysis; The Valuation of Single Contracts Using Index Modelling; Further Topics in the Valuation of Single Contracts; The Valuation of Single Contracts Using Daily Modelling; Modelling Portfolios; Managing Portfolios; An Introduction to Meteorological Forecasts; The Use of Meteorological Forecasts in Pricing; Arbitrage Pricing Models; Risk Management; Modelling Non-Temperature Data; Trend Models; Parameter Estimation; Goodness of Fit Tests; Expected Pay-Offs for Normally Distributed Indices; Pay-Off Variances for Normally Distributed Indices; Greeks for Normally Distributed Indices; Exact Solutions for the Kernal Density; The Beta for a Normally Distributed Index; Simulation Methods; Efficient Models for Pricing Against a Portfolio.

Keywords: Weather Derivatives, Financial Contracts, Finance Statistics, Economic Economics, Meteorology, Valuation, Statistical, Mathematics, Mathematical