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 The Pricing of Weather Derivatives including Meteorological Forecasts written by Elena Parmigiani and published by GRIN Verlag. This book was released on 2014-02-24 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bachelor Thesis from the year 2013 in the subject Business economics - Investment and Finance, grade: 4/4, , language: English, abstract: 1. Abstract This paper analyses weather derivatives and the issue of pricing these financial instruments. The non-tradability of the underlying makes their pricing not straightforward and even if the Chicago Mercantile Exchange began trading the first weather contract in 1999, the market still witnesses very low volumes and is relatively illiquid. This theoretical analysis is focused on instruments whose underlying is temperature, since they are the most traded. Due to the assumption of informational efficient markets, all available information should theoretically be included in the prices. However most existing models focus only on historical observations of temperature, actually excluding some relevant information. The few models that have instead considered weather forecasts are analysed, and in particular the model introduced by Ritter, Musshoff, and Odening to price temperature monthly futures including weather forecasts is described in details. I’ve performed an analysis applying a simplified version of the model described, based on temperature data from Tampa, Florida, in 2007. The results show that models with meteorological forecasts indeed outperform models that ignore them.
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 Modeling and Pricing in Financial Markets for Weather Derivatives written by Fred Espen Benth and published by World Scientific. This book was released on 2013 with total page 255 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Forecast written by Mark Buchanan and published by A&C Black. This book was released on 2013-01-01 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: Positive feedback--when A produces B, which in turn produces even more A--drives not only abrupt climate changes, but also disruptive events in economics and finance, from asset bubbles to debt crises, bank runs, even corporate corruption. But economists, with few exceptions, have ignored this reality for fifty years, holding on to the unreasonable belief in the wisdom of the market. It's past time to be asking how markets really work. Can we replace economic magical thinking with a better means of predicting what the financial future holds, in order to prepare for--or even avoid--the next extreme economic event? Here, physicist and acclaimed science writer Mark Buchanan answers these questions and more in a master lesson on a smarter economics, which accepts that markets act much like weather. Market instability is as natural--and dangerous--as a prairie twister. With Buchanan's help, perhaps we can better govern the markets and weather their storms.
Download or read book Climate Risk and the Weather Market written by Robert S. Dischel and published by . This book was released on 2002 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides a highly accessible and complete coverage of weather risk management as seen from the perspective of practitioners, consultants and academics.
Download or read book Weather Prediction by Numerical Process written by Lewis F. Richardson and published by . This book was released on 1922 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Satellite Observations of the Earth s Environment written by National Research Council and published by National Academies Press. This book was released on 2003-07-03 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt: This report addresses the transition of research satellites, instruments, and calculations into operational service for accurately observing and predicting the Earth's environment. These transitions, which take place in large part between NASA and NOAA, are important for maintaining the health, safety, and prosperity of the nation, and for achieving the vision of an Earth Information System in which quantitative information about the complete Earth system is readily available to myriad users. Many transitions have been ad hoc, sometimes taking several years or even decades to occur, and others have encountered roadblocksâ€"lack of long-range planning, resources, institutional or cultural differences, for instanceâ€"and never reached fruition. Satellite Observations of Earth's Environment recommends new structures and methods that will allow seamless transitions from research to practice.
Download or read book Simulating Security Returns written by Giovanni Barone Adesi and published by Springer. This book was released on 2014-10-14 with total page 183 pages. Available in PDF, EPUB and Kindle. Book excerpt: Practitioners in risk management are familiar with the use of the FHS (filtered historical simulation) to finding realistic simulations of security returns. This approach has become increasingly popular over the last fifteen years, as it is both flexible and reliable, and is now being accepted in the academic community. Simulating Security Returns is a useful guide for researchers, students, and practitioners. It uses the FHS approach to help simulate the returns of large portfolios of securities. While other simulation methods use the covariance matrix of security returns, which suffers the curse of dimensionality even for modest portfolios, Barone Adesi demonstrates how FHS can accurately adjust to current market conditions.
Download or read book An Introduction to Numerical Weather Prediction Techniques written by T. N. Krishnamurti and published by CRC Press. This book was released on 2018-05-11 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt: An Introduction to Numerical Weather Prediction Techniques is unique in the meteorological field as it presents for the first time theories and software of complex dynamical and physical processes required for numerical modeling. It was first prepared as a manual for the training of the World Meteorological Organization's programs at a similar level. This new book updates these exercises and also includes the latest data sets. This book covers important aspects of numerical weather prediction techniques required at an introductory level. These techniques, ranging from simple one-dimensional space derivative to complex numerical models, are first described in theory and for most cases supported by fully tested computational software. The text discusses the fundamental physical parameterizations needed in numerical weather models, such as cumulus convection, radiative transfers, and surface energy fluxes calculations. The book gives the user all the necessary elements to build a numerical model. An Introduction to Numerical Weather Prediction Techniques is rich in illustrations, especially tables showing outputs from each individual algorithm presented. Selected figures using actual meteorological data are also used. This book is primarily intended for senior-level undergraduates and first-year graduate students in meteorology. It is also excellent for individual scientists who wish to use the book for self-study. Scientists dealing with geophysical data analysis or predictive models will find this book filled with useful techniques and data-processing algorithms.
Download or read book Next Generation Earth System Prediction written by National Academies of Sciences, Engineering, and Medicine and published by National Academies Press. This book was released on 2016-08-22 with total page 351 pages. Available in PDF, EPUB and Kindle. Book excerpt: As the nation's economic activities, security concerns, and stewardship of natural resources become increasingly complex and globally interrelated, they become ever more sensitive to adverse impacts from weather, climate, and other natural phenomena. For several decades, forecasts with lead times of a few days for weather and other environmental phenomena have yielded valuable information to improve decision-making across all sectors of society. Developing the capability to forecast environmental conditions and disruptive events several weeks and months in advance could dramatically increase the value and benefit of environmental predictions, saving lives, protecting property, increasing economic vitality, protecting the environment, and informing policy choices. Over the past decade, the ability to forecast weather and climate conditions on subseasonal to seasonal (S2S) timescales, i.e., two to fifty-two weeks in advance, has improved substantially. Although significant progress has been made, much work remains to make S2S predictions skillful enough, as well as optimally tailored and communicated, to enable widespread use. Next Generation Earth System Predictions presents a ten-year U.S. research agenda that increases the nation's S2S research and modeling capability, advances S2S forecasting, and aids in decision making at medium and extended lead times.
Download or read book Aviation Turbulence written by Robert Sharman and published by Springer. This book was released on 2016-06-27 with total page 529 pages. Available in PDF, EPUB and Kindle. Book excerpt: Anyone who has experienced turbulence in flight knows that it is usually not pleasant, and may wonder why this is so difficult to avoid. The book includes papers by various aviation turbulence researchers and provides background into the nature and causes of atmospheric turbulence that affect aircraft motion, and contains surveys of the latest techniques for remote and in situ sensing and forecasting of the turbulence phenomenon. It provides updates on the state-of-the-art research since earlier studies in the 1960s on clear-air turbulence, explains recent new understanding into turbulence generation by thunderstorms, and summarizes future challenges in turbulence prediction and avoidance.
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 Mesoscale Meteorology in Midlatitudes written by Paul Markowski and published by John Wiley & Sons. This book was released on 2011-09-20 with total page 435 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mesoscale Meteorology in Mid-Latitudes presents the dynamics of mesoscale meteorological phenomena in a highly accessible, student-friendly manner. The book's clear mathematical treatments are complemented by high-quality photographs and illustrations. Comprehensive coverage of subjects including boundary layer mesoscale phenomena, orographic phenomena and deep convection is brought together with the latest developments in the field to provide an invaluable resource for mesoscale meteorology students. Mesoscale Meteorology in Mid-Latitudes functions as a comprehensive, easy-to-use undergraduate textbook while also providing a useful reference for graduate students, research scientists and weather industry professionals. Illustrated in full colour throughout Covers the latest developments and research in the field Comprehensive coverage of deep convection and its initiation Uses real life examples of phenomena taken from broad geographical areas to demonstrate the practical aspects of the science
Download or read book Climate Impacts on Energy Systems written by Jane O. Ebinger and published by World Bank Publications. This book was released on 2011 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: "While the energy sector is a primary target of efforts to arrest and reverse the growth of greenhouse gas emissions and lower the carbon footprint of development, it is also expected to be increasingly affected by unavoidable climate consequences from the damage already induced in the biosphere. Energy services and resources, as well as seasonal demand, will be increasingly affected by changing trends, increasing variability, greater extremes and large inter-annual variations in climate parameters in some regions. All evidence suggests that adaptation is not an optional add-on but an essential reckoning on par with other business risks. Existing energy infrastructure, new infrastructure and future planning need to consider emerging climate conditions and impacts on design, construction, operation, and maintenance. Integrated risk-based planning processes will be critical to address the climate change impacts and harmonize actions within and across sectors. Also, awareness, knowledge, and capacity impede mainstreaming of climate adaptation into the energy sector. However, the formal knowledge base is still nascent?information needs are complex and to a certain extent regionally and sector specific. This report provides an up-to-date compendium of what is known about weather variability and projected climate trends and their impacts on energy service provision and demand. It discusses emerging practices and tools for managing these impacts and integrating climate considerations into planning processes and operational practices in an environment of uncertainty. It focuses on energy sector adaptation, rather than mitigation which is not discussed in this report. This report draws largely on available scientific and peer-reviewed literature in the public domain and takes the perspective of the developing world to the extent possible."
Download or read book Managing Climate Risk in the U S Financial System written by Leonardo Martinez-Diaz and published by U.S. Commodity Futures Trading Commission . This book was released on 2020-09-09 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt: This publication serves as a roadmap for exploring and managing climate risk in the U.S. financial system. It is the first major climate publication by a U.S. financial regulator. The central message is that U.S. financial regulators must recognize that climate change poses serious emerging risks to the U.S. financial system, and they should move urgently and decisively to measure, understand, and address these risks. Achieving this goal calls for strengthening regulators’ capabilities, expertise, and data and tools to better monitor, analyze, and quantify climate risks. It calls for working closely with the private sector to ensure that financial institutions and market participants do the same. And it calls for policy and regulatory choices that are flexible, open-ended, and adaptable to new information about climate change and its risks, based on close and iterative dialogue with the private sector. At the same time, the financial community should not simply be reactive—it should provide solutions. Regulators should recognize that the financial system can itself be a catalyst for investments that accelerate economic resilience and the transition to a net-zero emissions economy. Financial innovations, in the form of new financial products, services, and technologies, can help the U.S. economy better manage climate risk and help channel more capital into technologies essential for the transition. https://doi.org/10.5281/zenodo.5247742
Download or read book Seasonal Climate Forecasting and Managing Risk written by Alberto Troccoli and published by Springer Science & Business Media. This book was released on 2008-01-29 with total page 462 pages. Available in PDF, EPUB and Kindle. Book excerpt: Originally formed around a set of lectures presented at a NATO Advanced Study Institute (ASI), this book has grown to become organised and presented rather more as a textbook than as a standard "collection of proceedings". This therefore is the first unified reference ‘textbook’ in seasonal to interannual climate predictions and their practical uses. Written by some of the world’s leading experts, the book covers a rapidly-developing science of prime social concern.
