Weather Derivatives

Author : Antonis Alexandridis K.,Achilleas D. Zapranis
Publisher : Springer Science & Business Media
Page : 310 pages
File Size : 51,5 Mb
Release : 2012-11-30
Category : Business & Economics
ISBN : 9781461460718

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Weather Derivatives by Antonis Alexandridis K.,Achilleas D. Zapranis Pdf

​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. ​

Author : Stephen Jewson,Anders Brix
Publisher : Cambridge University Press
Page : 393 pages
File Size : 43,7 Mb
Release : 2005-03-10
Category : Business & Economics
ISBN : 9781139444514

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Weather Derivative Valuation by Stephen Jewson,Anders Brix Pdf

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.

Author : Fred Espen Benth,Jurate Saltyte Benth
Publisher : World Scientific
Page : 255 pages
File Size : 41,7 Mb
Release : 2013
Category : Business & Economics
ISBN : 9789814401845

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Modeling and Pricing in Financial Markets for Weather Derivatives by Fred Espen Benth,Jurate Saltyte Benth Pdf

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 are 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.

Author : Fred Espen Benth
Publisher : World Scientific
Page : 255 pages
File Size : 47,5 Mb
Release : 2013
Category : Business & Economics
ISBN : 9789814401852

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Modeling and Pricing in Financial Markets for Weather Derivatives by Fred Espen Benth Pdf

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.

Author : Jan Job de Vries Robbé,Paul A. U. Ali
Publisher : Kluwer Law International B.V.
Page : 538 pages
File Size : 48,9 Mb
Release : 2005-01-01
Category : Law
ISBN : 9789041123756

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Securitisation of Derivatives and Alternative Asset Classes by Jan Job de Vries Robbé,Paul A. U. Ali Pdf

Securitisation has survived the threats that emerged in the aftermath of the collapses of Enron, WorldCom, and Parmalat. Today, global securitisation markets continue to go from strength to strength, particularly as regards the evolution of new synthetic structures and the application of securitisation technology to fresh asset classes. This Yearbook focuses on the latest innovations in securitisation, including the securitisation of derivatives and alternative asset classes, and also exotic variations on the securitisation of well-established asset classes. Twenty-nine distinguished authors all of them active in the global securitisation markets as advisers, structurers, facilitators, or regulators brilliantly elucidate such topics as the following: synthetic squares as an effective means of arbitrage securitisation;collateralised debt obligations from a ratings perspective;use of, and potential for, synthetic securitisation in Germany and Italy;weather derivatives;use of equity derivatives as alternatives to credit risk;securitisation of alternative asset classes in Japan and the United States;covered bonds in a variety of European jurisdictions;new types of commercial mortgage backed securities;securitisation of non-performing tax receivables as an example of public sector securitisation; andsecuritisation structures in the Islamic regulatory and legal framework. The complex and sometimes controversial¿issues of documentation are well covered, as are all significant legal and regulatory issues. Three concluding essays detail the recent changes in accountancy fuelled by perceived abuse of existing regulations, and the revised framework for capital adequacy formulated by the Basel Committee. The Yearbook provides detailed information on the legal structure of innovative securitisations as well as recent developments in the accounting and regulatory treatment of securitisations. For legal advisers, investors, and regulators, there is no more useful guide to current and emerging trends and opportunities in securitisation.

Author : Stephen Jewson
Publisher : Unknown
Page : 373 pages
File Size : 51,9 Mb
Release : 2005
Category : Weather derivatives
ISBN : 0511121970

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Weather Derivative Valuation by Stephen Jewson Pdf

Author : Peter C. Fusaro,Jeremy Wilcox
Publisher : Energy Publishing Enterprises dba
Page : 288 pages
File Size : 53,9 Mb
Release : 2000
Category : Business & Economics
ISBN : 9780970222800

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Energy Derivatives by Peter C. Fusaro,Jeremy Wilcox Pdf

The new finanacial markets for energy trading are growing globally. Financial derivatives now influence energy price formation for oil, gas and electricity. The power of the Internet is driving these global changes more rapidly and adding more price volatility. This book is the second of three books on energy trading and risk management written by best selling author Peter C. Fusaro. It covers the key new markets of emissions trading, weather driving, electronic energy trading, bandwidth trading and electricty and gas trading in Europe.

Author : KHATRI, DHANESH KUMAR
Publisher : PHI Learning Pvt. Ltd.
Page : 440 pages
File Size : 43,7 Mb
Release : 2016-06-22
Category : Business & Economics
ISBN : 9788120352308

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DERIVATIVES AND RISK MANAGEMENT by KHATRI, DHANESH KUMAR Pdf

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 www.phindia.com/dhanesh-khatri-derivatives/ to provide integrated learning to the student

Author : Loren Fox
Publisher : John Wiley & Sons
Page : 394 pages
File Size : 55,7 Mb
Release : 2004-01-30
Category : Business & Economics
ISBN : 9780471432203

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Enron by Loren Fox Pdf

"I'd say you were a carnival barker, except that wouldn't be fair tocarnival barkers. A carnie will at least tell you up front that he's running a shell game. You, Mr. Lay, were running what purported to be the seventh largest corporation in America."-Senator Peter Fitzgerald (R-IL) to Enron CEO Kenneth Lay, Senate Commerce Science & Transportation's Subcommittee, Hearing on Enron, 2/12/02 The speed of Enron's rise and fall is truly astonishing and perhaps the single most important story of corporate failure in the twenty-first century. In Enron investigative journalist Loren Fox promises readers nothing short of the most compelling and insightful investigation into Enron's meteoric ascent-regarded by Wall Street and the media as the epitome of innovation-and its spectacular fall from grace. In a lively and authoritative manner, Fox discusses how the biggest corporate bankruptcy in American business history happened, why for so long no one (except for an enlightened few) saw it coming, and what its impact will be on financial markets, the U.S. economy, U.S. energy policy, and the public for years to come. With access to many company insiders, Fox's intriguing account of this corporate debacle also provides an overview of the corporate culture and business model that led to Enron's high-flying success and disastrous failure. The story of Enron is one that will reverberate in global financial and energy markets as well as in criminal and civil courts for years to come. Rife with all the elements of a classic thriller-scandal, dishonest accounting, personal greed, questionable campaign contributions, suicide-Enron captures the essence of a company that went too far too fast.

Author : Sasha Breger Bush
Publisher : Springer
Page : 244 pages
File Size : 40,6 Mb
Release : 2012-07-16
Category : Business & Economics
ISBN : 9781137062659

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Derivatives and Development by Sasha Breger Bush Pdf

Breger Bush argues that derivatives markets work in the development context as engines of inequality and instability, aggravating poverty among those they are purported to help and highlighting some of the dangers of neoliberal globalization for the poor.

Author : Neil C. Schofield
Publisher : John Wiley & Sons
Page : 549 pages
File Size : 47,8 Mb
Release : 2021-05-11
Category : Business & Economics
ISBN : 9781119349259

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Commodity Derivatives by Neil C. Schofield Pdf

Commodity Derivatives In the newly revised Second Edition of Commodity Derivatives: Markets and Applications, expert trading educator and author Neil Schofield delivers a comprehensive overview of a wide variety of commodities and derivatives. Beginning with discussions of commodity markets generally before moving on to derivative valuation and risk management, the author then dives into individual commodity markets, like gold, base metals, crude oil, natural gas, electricity, and more. Schofield relies on his extensive experience at Barclays Investment Bank to offer readers detailed examinations of commodity finance and the use of commodities within a wider investment portfolio. The second edition includes discussions of critical new topics like dual curve swap valuation, option valuation within a negative price environment using the Bachelier model, volatility skews, smiles, smirks, term structures for major commodities, and more. You’ll find case studies on corporate failures linked to improper commodity risk management, as well as explorations of issues like the impact of growing interest in electric vehicles on commodity markets. The text of the original edition has been updated and expanded and new example transactions are included to help the reader understand the concepts discussed within. Each chapter follows a uniform structure, with typical demand and supply patterns following a non-technical description of the commodity at issue. Discussions of the physical markets in each commodity and the main exchange-traded and over-the-counter products conclude each chapter. Perfect for commodity and derivatives traders, analysts, and risk managers, the Second Edition of Commodity Derivatives: Markets and Applications will also earn a place in the libraries of students and academics studying finance and the graduate intake in financial institutions. A one-stop resource for the main commodity markets and their associated derivatives Finance professionals seeking a single volume that fully describes the major commodity markets and their derivatives will find everything they need in the latest edition of Commodity Derivatives: Markets and Applications. Former Global Head of Financial Markets Training at Barclays Investment Bank Neil Schofield delivers a rigorous and authoritative reference on a crucial, but often overlooked, subject. Completely revised and greatly expanded, the Second Edition of this essential text offers finance professionals and students coverage on every major class of commodities, including gold, steel, ethanol, crude oil, and more. You’ll also find discussions of derivative valuation, risk management, commodity finance, and the use of commodities within an investment portfolio. Non-technical descriptions of major commodity classes ensure the material is accessible to everyone while still in-depth and rigorous enough to deliver key information on an area central to global finance. Ideal for students and academics in finance, Commodity Derivatives is an indispensable guide for commodity and derivatives traders, analysts, and risk managers who seek a one-volume resource on foundational and advanced topics in commodity markets and their associated derivatives.

Author : PRABINA RAJIB
Publisher : PHI Learning Pvt. Ltd.
Page : 456 pages
File Size : 46,6 Mb
Release : 2014-01-17
Category : Business & Economics
ISBN : 9788120348998

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COMMODITY DERIVATIVES AND RISK MANAGEMENT by PRABINA RAJIB Pdf

Over the last decade, commodity derivatives trading in India has undergone a significant growth, and has surpassed equity derivatives trading. The book covers almost the entire spectrum of commodities traded in the Indian commodity market, including agricultural commodities, crude oil, base metal, precious metal, electricity, carbon, weather, freight, real estate, and water. A distinguishing feature of the book is that it lucidly explains the peculiarities of various commodities, delving into their technical and historical details. As commodity market in a country cannot function in isolation, commodity contracts traded in other international exchanges, like LME, CME, The Baltic Exchange, Nordpool, etc. have also been discussed in detail. Commodity derivatives contracts, such as futures, FRAs, options, Tapos, swaps, spreads (crush, crack, dark and spark), collars, ETFs, Contract for Differences (CfDs) and cool bonds, etc. have been discussed extensively in the book. Fundamental factors associated with different types of commodities have been dealt with to develop a deeper understanding of the peculiarities associated with various commodities. This book documents the case studies involving important commodity price manipulations and frauds in commodity derivatives trading. These have been analyzed to bring out the necessity and the role of the commodity market regulators in maintaining market integrity. Major commodity derivatives trading losses that have shaken up even some prominent companies all over the world have been discussed to highlight the risks associated with commodity derivatives trading. The book is intended for the postgraduate students of Management. It is equally beneficial for the students and professionals opting for Diploma courses in Banking and Finance.• Around 40 Business Snapshots have been presented at appropriate sections in the book, so that a reader can apply the concepts to real-life situations/happenings. • Around 100 Numerical Examples have also been worked in various chapters to help the reader develop a deeper understanding of the underlying theories. • Worked out examples and business snapshots have been provided in large numbers. • End of the chapter questions have been provided for the students to test their understanding. • Power Point slides available online at www.phindia.com/prabinarajib to provide integrated learning to the students.

Author : S.L. GUPTA
Publisher : PHI Learning Pvt. Ltd.
Page : 892 pages
File Size : 45,8 Mb
Release : 2017-07-01
Category : Business & Economics
ISBN : 9788120353480

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FINANCIAL DERIVATIVES by S.L. GUPTA Pdf

This highly acclaimed text, designed for postgraduate students of management, commerce, and financial studies, has been enlarged and updated in its second edition by introducing new chapters and topics with its focus on conceptual understanding based on practical examples. Each derivative product is illustrated with the help of diagrams, charts, tables and solved problems. Sufficient exercises and review questions help students to practice and test their knowledge. Since this comprehensive text includes latest developments in the field, the students pursuing CA, ICWA and CFA will also find this book of immense value, besides management and commerce students. THE NEW EDITION INCLUDES • Four new chapters on ‘Forward Rate Agreements’, ‘Pricing and Hedging of Swaps’, ‘Real Options’, and ‘Commodity Derivatives Market’ • Substantially revised chapters—‘Risk Management in Derivatives’, ‘Foreign Currency Forwards’, and ‘Credit Derivatives’ • Trading mechanism of Short-term interest rate futures and Long-term interest rate futures • Trading of foreign currency futures in India with RBI Guidelines • Currency Option Contracts in India • More solved examples and practice problems • Separate sections on ‘Swaps’ and ‘Other Financial Instruments’ • Extended Glossary

Author : Sebastian Martorell,Carlos Guedes Soares,Julie Barnett
Publisher : CRC Press
Page : 3512 pages
File Size : 50,9 Mb
Release : 2008-09-10
Category : Technology & Engineering
ISBN : 9781482266481

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Safety, Reliability and Risk Analysis by Sebastian Martorell,Carlos Guedes Soares,Julie Barnett Pdf

Safety, Reliability and Risk Analysis. Theory, Methods and Applications contains the papers presented at the joint ESREL (European Safety and Reliability) and SRA-Europe (Society for Risk Analysis Europe) Conference (Valencia, Spain, 22-25 September 2008). The book covers a wide range of topics, including: Accident and Incident Investigation; Crisi

Author : Dominic Palmer-Brown,Chrisina Draganova,Elias Pimenidis,Haris Mouratidis
Publisher : Springer Science & Business Media
Page : 508 pages
File Size : 46,9 Mb
Release : 2009-08-19
Category : Computers
ISBN : 9783642039690

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Engineering Applications of Neural Networks by Dominic Palmer-Brown,Chrisina Draganova,Elias Pimenidis,Haris Mouratidis Pdf

A cursory glance at the table of contents of EANN 2009 reveals the am- ing range of neural network and related applications. A random but revealing sample includes: reducing urban concentration, entropy topography in epil- tic electroencephalography, phytoplanktonic species recognition, revealing the structure of childhood abdominal pain data, robot control, discriminating angry and happy facial expressions, ?ood forecasting, and assessing credit worthiness. The diverse nature of applications demonstrates the vitality of neural comp- ing and related soft computing approaches, and their relevance to many key contemporary technological challenges. It also illustrates the value of EANN in bringing together a broad spectrum of delegates from across the world to learn from each other’s related methods. Variations and extensions of many methods are well represented in the proceedings, ranging from support vector machines, fuzzy reasoning, and Bayesian methods to snap-drift and spiking neurons. This year EANN accepted approximately 40% of submitted papers for fu- length presentation at the conference. All members of the Program Committee were asked to participate in the reviewing process. The standard of submissions was high, according to the reviewers, who did an excellent job. The Program and Organizing Committees thank them. Approximately 20% of submitted - pers will be chosen, the best according to the reviews, to be extended and - viewedagainfor inclusionin a specialissueofthe journalNeural Computing and Applications. We hope that these proceedings will help to stimulate further research and development of new applications and modes of neural computing.