Download or read book Weather Derivative Valuation written by Stephen Jewson and published by Cambridge University Press. This book was released on 2005-03-10 with total page 393 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Weather Derivatives written by Antonis Alexandridis K. and published by Springer Science & Business Media. This book was released on 2012-11-30 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt: ​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. ​

Download or read book Visions for Global Tourism Industry written by Murat Kasimoglu and published by BoD – Books on Demand. This book was released on 2012-04-18 with total page 494 pages. Available in PDF, EPUB and Kindle. Book excerpt: We have been witnessing huge competition among the organisations in the business world. Companies, NGO's and governments are looking for innovative ways to compete in the global tourism market. In the classical literature of business the main purpose is to make a profit. However, if purpose only focus on the profit it will not to be easy for them to achieve. Nowadays, it is more important for organisations to discover how to create a strong strategy in order to be more competitive in the marketplace. Increasingly, organisations have been using innovative approaches to strengthen their position. Innovative working enables organisations to make their position much more competitive and being much more value-orientated in the global tourism industry. In this book, we are pleased to present many papers from all over the world that discuss the impact of tourism business strategies from innovative perspectives. This book also will help practitioners and academician to extend their vision in the light of scientific approaches.

Download or read book Advances in Risk Management written by G. Gregoriou and published by Springer. This book was released on 2006-11-17 with total page 401 pages. Available in PDF, EPUB and Kindle. Book excerpt: This important book brings together an edited series of papers about risk management and the latest developments in the field. Covering topics such as Stochastic Volatility, Risk Dynamics and Portfolio Diversification, this book is vital for optimal portfolio allocation for private and institutional investors, and is an indispensable tool.

Download or read book An Equilibrium Pricing Model for Weather Derivatives written by Yongheon Lee and published by . This book was released on 2008 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Commodities and Commodity Derivatives written by Helyette Geman and published by John Wiley & Sons. This book was released on 2009-09-24 with total page 479 pages. Available in PDF, EPUB and Kindle. Book excerpt: The last few years have been a watershed for the commodities, cash and derivatives industry. New regulations and products have led to an explosion in the commodities markets, creating a new asset for investors that includes hedge funds as well as University endowments, and has resulted in a spectacular growth in spot and derivative trading. This book covers hard and soft commodities (energy, agriculture and metals) and analyses: Economic and geopolitical issues in commodities markets Commodity price and volume risk Stochastic modelling of commodity spot prices and forward curves Real options valuation and hedging of physical assets in the energy industry It is required reading for energy companies and utilities practitioners, commodity cash and derivatives traders in investment banks, the Agrifood business, Commodity Trading Advisors (CTAs) and Hedge Funds. In Commodities and Commodity Derivatives, Hélyette Geman shows her powerful command of the subject by combining a rigorous development of its mathematical modelling with a compact institutional presentation of the arcane characteristics of commodities that makes the complex analysis of commodities derivative securities accessible to both the academic and practitioner who wants a deep foundation and a breadth of different market applications. It is destined to be a "must have" on the subject.” —Robert Merton, Professor, Harvard Business School "A marvelously comprehensive book of interest to academics and practitioners alike, by one of the world's foremost experts in the field." —Oldrich Vasicek, founder, KMV

Download or read book Computational Solution of Nonlinear Systems of Equations written by Eugene L. Allgower and published by American Mathematical Soc.. This book was released on 1990-04-03 with total page 788 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nonlinear equations arise in essentially every branch of modern science, engineering, and mathematics. However, in only a very few special cases is it possible to obtain useful solutions to nonlinear equations via analytical calculations. As a result, many scientists resort to computational methods. This book contains the proceedings of the Joint AMS-SIAM Summer Seminar, ``Computational Solution of Nonlinear Systems of Equations,'' held in July 1988 at Colorado State University. The aim of the book is to give a wide-ranging survey of essentially all of the methods which comprise currently active areas of research in the computational solution of systems of nonlinear equations. A number of ``entry-level'' survey papers were solicited, and a series of test problems has been collected in an appendix. Most of the articles are accessible to students who have had a course in numerical analysis.

Download or read book Wavelet Neural Networks written by Antonios K. Alexandridis and published by John Wiley & Sons. This book was released on 2014-04-24 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt: A step-by-step introduction to modeling, training, and forecasting using wavelet networks Wavelet Neural Networks: With Applications in Financial Engineering, Chaos, and Classification presents the statistical model identification framework that is needed to successfully apply wavelet networks as well as extensive comparisons of alternate methods. Providing a concise and rigorous treatment for constructing optimal wavelet networks, the book links mathematical aspects of wavelet network construction to statistical modeling and forecasting applications in areas such as finance, chaos, and classification. The authors ensure that readers obtain a complete understanding of model identification by providing in-depth coverage of both model selection and variable significance testing. Featuring an accessible approach with introductory coverage of the basic principles of wavelet analysis, Wavelet Neural Networks: With Applications in Financial Engineering, Chaos, and Classification also includes: • Methods that can be easily implemented or adapted by researchers, academics, and professionals in identification and modeling for complex nonlinear systems and artificial intelligence • Multiple examples and thoroughly explained procedures with numerous applications ranging from financial modeling and financial engineering, time series prediction and construction of confidence and prediction intervals, and classification and chaotic time series prediction • An extensive introduction to neural networks that begins with regression models and builds to more complex frameworks • Coverage of both the variable selection algorithm and the model selection algorithm for wavelet networks in addition to methods for constructing confidence and prediction intervals Ideal as a textbook for MBA and graduate-level courses in applied neural network modeling, artificial intelligence, advanced data analysis, time series, and forecasting in financial engineering, the book is also useful as a supplement for courses in informatics, identification and modeling for complex nonlinear systems, and computational finance. In addition, the book serves as a valuable reference for researchers and practitioners in the fields of mathematical modeling, engineering, artificial intelligence, decision science, neural networks, and finance and economics.

Download or read book Conf rence Mosh Flato 1999 written by Giuseppe Dito and published by Springer Science & Business Media. This book was released on 2000-07-31 with total page 446 pages. Available in PDF, EPUB and Kindle. Book excerpt: These two volumes constitute the Proceedings of the `Conférence Moshé Flato, 1999'. Their spectrum is wide but the various areas covered are, in fact, strongly interwoven by a common denominator, the unique personality and creativity of the scientist in whose honor the Conference was held, and the far-reaching vision that underlies his scientific activity. With these two volumes, the reader will be able to take stock of the present state of the art in a number of subjects at the frontier of current research in mathematics, mathematical physics, and physics. Volume I is prefaced by reminiscences of and tributes to Flato's life and work. It also includes a section on the applications of sciences to insurance and finance, an area which was of interest to Flato before it became fashionable. The bulk of both volumes is on physical mathematics, where the reader will find these ingredients in various combinations, fundamental mathematical developments based on them, and challenging interpretations of physical phenomena. Audience: These volumes will be of interest to researchers and graduate students in a variety of domains, ranging from abstract mathematics to theoretical physics and other applications. Some parts will be accessible to proficient undergraduate students, and even to persons with a minimum of scientific knowledge but enough curiosity.

Download or read book Hurricanes and Climate Change written by James B. Elsner and published by Springer Science & Business Media. This book was released on 2010-01-23 with total page 425 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent studies suggest that tropical cyclones are more powerful than in the past with the most dramatic increase in the North Atlantic. The increase is correlated with an increase in ocean temperature. A debate concerns the nature of these increases with some scientists attributing them to a natural climate fluctuation and others suggesting climate change related to anthropogenic increases in forcing from greenhouse gases. A Summit on Hurricanes and Climate Change was held during the spring of 2007 on the island of Crete that brought together leading academics and researchers on both sides of the scientific debate to discuss new research and express opinions about what will happen in the future with regard to hurricane activity. This proceedings volume highlights the state-of-the-science research into various aspects of the hurricane-climate connection. It is likely that the science presented here will lead to new research that will help answer crucial questions about our sustainable future.

Download or read book Using Weather Derivatives to Manage Financial Risk in Deregulated Electricity Markets written by Shiyong Yoo and published by . This book was released on 2004 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Spectral Numerical Weather Prediction Models written by Martin Ehrendorfer and published by SIAM. This book was released on 2012-01-01 with total page 503 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive overview of numerical weather prediction (NWP) focusing on the application of the spectral method in NWP models. The author illustrates the use of the spectral method in theory as well as in its application to building a full prototypical spectral NWP model, from the formulation of continuous model equations through development of their discretized forms to coded statements of the model. The author describes the implementation of a specific model - PEAK (Primitive-Equation Atmospheric Research Model Kernel) - to illustrate the steps needed to construct a global spectral NWP model. The book brings together all the spectral, time, and vertical discretization aspects relevant for such a model. It provides readers with information necessary to construct spectral NWP models; a self-contained, well-documented, coded spectral NWP model; and theoretical and practical exercises, some of which include solutions.

Download or read book Numerical Methods for Scientific Computing written by Kyle Novak and published by Equal Share Press. This book was released on 2022-03-13 with total page 710 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive guide to the theory, intuition, and application of numerical methods in linear algebra, analysis, and differential equations. With extensive commentary and code for three essential scientific computing languages: Julia, Python, and Matlab.

Download or read book Commodity Price Dynamics written by Craig Pirrong and published by Cambridge University Press. This book was released on 2011-10-31 with total page 239 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.

Download or read book FX Derivatives Trader School written by Giles Jewitt and published by John Wiley & Sons. This book was released on 2015-06-29 with total page 629 pages. Available in PDF, EPUB and Kindle. Book excerpt: An essential guide to real-world derivatives trading FX Derivatives Trader School is the definitive guide to the technical and practical knowledge required for successful foreign exchange derivatives trading. Accessible in style and comprehensive in coverage, the book guides the reader through both basic and advanced derivative pricing and risk management topics. The basics of financial markets and trading are covered, plus practical derivatives mathematics is introduced with reference to real-world trading and risk management. Derivative contracts are covered in detail from a trader's perspective using risk profiles and pricing under different derivative models. Analysis is approached generically to enable new products to be understood by breaking the risk into fundamental building blocks. To assist with learning, the book also contains Excel practicals which will deepen understanding and help build useful skills. The book covers of a wide variety of topics, including: Derivative exposures within risk management Volatility surface construction Implied volatility and correlation risk Practical tips for students on trading internships and junior traders Market analysis techniques FX derivatives trading requires mathematical aptitude, risk management skill, and the ability to work quickly and accurately under pressure. There is a tremendous gap between option pricing formulas and the knowledge required to be a successful derivatives trader. FX Derivatives Trader School is unique in bridging that gap.

Download or read book Discrete Choice Methods with Simulation written by Kenneth Train and published by Cambridge University Press. This book was released on 2009-07-06 with total page 399 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book describes the new generation of discrete choice methods, focusing on the many advances that are made possible by simulation. Researchers use these statistical methods to examine the choices that consumers, households, firms, and other agents make. Each of the major models is covered: logit, generalized extreme value, or GEV (including nested and cross-nested logits), probit, and mixed logit, plus a variety of specifications that build on these basics. Simulation-assisted estimation procedures are investigated and compared, including maximum stimulated likelihood, method of simulated moments, and method of simulated scores. Procedures for drawing from densities are described, including variance reduction techniques such as anithetics and Halton draws. Recent advances in Bayesian procedures are explored, including the use of the Metropolis-Hastings algorithm and its variant Gibbs sampling. The second edition adds chapters on endogeneity and expectation-maximization (EM) algorithms. No other book incorporates all these fields, which have arisen in the past 25 years. The procedures are applicable in many fields, including energy, transportation, environmental studies, health, labor, and marketing.

Download or read book Pricing and Hedging Financial Derivatives written by Leonardo Marroni and published by John Wiley & Sons. This book was released on 2014-06-19 with total page 277 pages. Available in PDF, EPUB and Kindle. Book excerpt: The only guide focusing entirely on practical approaches to pricing and hedging derivatives One valuable lesson of the financial crisis was that derivatives and risk practitioners don't really understand the products they're dealing with. Written by a practitioner for practitioners, this book delivers the kind of knowledge and skills traders and finance professionals need to fully understand derivatives and price and hedge them effectively. Most derivatives books are written by academics and are long on theory and short on the day-to-day realities of derivatives trading. Of the few practical guides available, very few of those cover pricing and hedging—two critical topics for traders. What matters to practitioners is what happens on the trading floor—information only seasoned practitioners such as authors Marroni and Perdomo can impart. Lays out proven derivatives pricing and hedging strategies and techniques for equities, FX, fixed income and commodities, as well as multi-assets and cross-assets Provides expert guidance on the development of structured products, supplemented with a range of practical examples Packed with real-life examples covering everything from option payout with delta hedging, to Monte Carlo procedures to common structured products payoffs The Companion Website features all of the examples from the book in Excel complete with source code