Weather Derivative Valuation
The Meteorological, Statistical, Financial and Mathematical Foundations
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Weather Derivative Valuation by Stephen Jewson
Book DescriptionOriginally 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.
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Book DetailsISBN: 9780521843713
(234mm x 156mm x 22mm)
Imprint: Cambridge University Press
Publisher: Cambridge University Press
Publish Date: 10-Mar-2005
Country of Publication: United Kingdom
Books By Author Stephen Jewson
Weather Derivative Valuation, Paperback (June 2010)» View all books by Stephen Jewson
This book, first published in 2005, covers meteorological, statistical, financial and mathematical issues arising in the pricing and risk management of weather derivatives.
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Author Biography - Stephen Jewson
Stephen Jewson works for a financial consultancy where he manages a group that produces commercial software and meteorological data for the weather derivative industry. He has published a large number of articles in the fields of fundamental climate research, applied meteorology and weather derivatives.
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