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 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 Practical Fruits of Econophysics written by Hideki Takayasu and published by Springer Science & Business Media. This book was released on 2006-01-05 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: The proceedings of the Third Nikkei Econophysics Symposium, "Business Models in the 21st Century - Risk Management and Expectations for Econophysics," held in Tokyo in November 2004, are gathered herein. Cutting-edge research on the practical application of econophysics is included, covering such topics as the predictability of markets, the analysis of rare events, the mechanism of crashes and bubbles, markets’ correlation and risk management, investment strategy, stochastic market simulations, agent-based market simulations, wealth distribution, and network structures in economics, most of which are beyond the scope of standard financial technology. New market models and financial-data analysis methods are introduced, and dynamic aspects of markets and economy are highlighted. Professionals, researchers, and students will find an invaluable resource in this first book of its kind to summarize the latest work in the field of econophysics.
Download or read book Making Climate Forecasts Matter written by National Research Council and published by National Academies Press. This book was released on 1999-05-27 with total page 189 pages. Available in PDF, EPUB and Kindle. Book excerpt: El Nino has been with us for centuries, but now we can forcast it, and thus can prepare far in advance for the extreme climatic events it brings. The emerging ability to forecast climate may be of tremendous value to humanity if we learn how to use the information well. How does society cope with seasonal-to-interannual climatic variations? How have climate forecasts been usedâ€"and how useful have they been? What kinds of forecast information are needed? Who is likely to benefit from forecasting skill? What are the benefits of better forecasting? This book reviews what we know about these and other questions and identifies research directions toward more useful seasonal-to-interannual climate forecasts. In approaching their recommendations, the panel explores: Vulnerability of human activities to climate. State of the science of climate forecasting. How societies coevolved with their climates and cope with variations in climate. How climate information should be disseminated to achieve the best response. How we can use forecasting to better manage the human consequences of climate change.
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 Energy Derivatives written by Les Clewlow and published by Twayne Publishers. This book was released on 2000 with total page 246 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 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 Climate and Social Stress written by National Research Council and published by National Academies Press. This book was released on 2013-02-14 with total page 253 pages. Available in PDF, EPUB and Kindle. Book excerpt: Climate change can reasonably be expected to increase the frequency and intensity of a variety of potentially disruptive environmental events-slowly at first, but then more quickly. It is prudent to expect to be surprised by the way in which these events may cascade, or have far-reaching effects. During the coming decade, certain climate-related events will produce consequences that exceed the capacity of the affected societies or global systems to manage; these may have global security implications. Although focused on events outside the United States, Climate and Social Stress: Implications for Security Analysis recommends a range of research and policy actions to create a whole-of-government approach to increasing understanding of complex and contingent connections between climate and security, and to inform choices about adapting to and reducing vulnerability to climate change.
Download or read book A Fire Upon The Deep written by Vernor Vinge and published by Tor Science Fiction. This book was released on 2010-04-01 with total page 626 pages. Available in PDF, EPUB and Kindle. Book excerpt: Now with a new introduction for the Tor Essentials line, A Fire Upon the Deep is sure to bring a new generation of SF fans to Vinge's award-winning works. A Hugo Award-winning Novel! “Vinge is one of the best visionary writers of SF today.”-David Brin Thousands of years in the future, humanity is no longer alone in a universe where a mind's potential is determined by its location in space, from superintelligent entities in the Transcend, to the limited minds of the Unthinking Depths, where only simple creatures, and technology, can function. Nobody knows what strange force partitioned space into these "regions of thought," but when the warring Straumli realm use an ancient Transcendent artifact as a weapon, they unwittingly unleash an awesome power that destroys thousands of worlds and enslaves all natural and artificial intelligence. Fleeing this galactic threat, Ravna crash lands on a strange world with a ship-hold full of cryogenically frozen children, the only survivors from a destroyed space-lab. They are taken captive by the Tines, an alien race with a harsh medieval culture, and used as pawns in a ruthless power struggle. Tor books by Vernor Vinge Zones of Thought Series A Fire Upon The Deep A Deepness In The Sky The Children of The Sky Realtime/Bobble Series The Peace War Marooned in Realtime Other Novels The Witling Tatja Grimm's World Rainbows End Collections Collected Stories of Vernor Vinge True Names At the Publisher's request, this title is being sold without Digital Rights Management Software (DRM) applied.
Download or read book Stochastic Modelling of Electricity and Related Markets written by Fred Espen Benth and published by World Scientific. This book was released on 2008 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: The markets for electricity, gas and temperature have distinctive features, which provide the focus for countless studies. For instance, electricity and gas prices may soar several magnitudes above their normal levels within a short time due to imbalances in supply and demand, yielding what is known as spikes in the spot prices. The markets are also largely influenced by seasons, since power demand for heating and cooling varies over the year. The incompleteness of the markets, due to nonstorability of electricity and temperature as well as limited storage capacity of gas, makes spot-forward hedging impossible. Moreover, futures contracts are typically settled over a time period rather than at a fixed date. All these aspects of the markets create new challenges when analyzing price dynamics of spot, futures and other derivatives.This book provides a concise and rigorous treatment on the stochastic modeling of energy markets. Ornstein?Uhlenbeck processes are described as the basic modeling tool for spot price dynamics, where innovations are driven by time-inhomogeneous jump processes. Temperature futures are studied based on a continuous higher-order autoregressive model for the temperature dynamics. The theory presented here pays special attention to the seasonality of volatility and the Samuelson effect. Empirical studies using data from electricity, temperature and gas markets are given to link theory to practice.
Download or read book Vinzenz Bronzin s Option Pricing Models written by Wolfgang Hafner and published by Springer Science & Business Media. This book was released on 2009-11-18 with total page 553 pages. Available in PDF, EPUB and Kindle. Book excerpt: In 1908, Vinzenz Bronzin, a professor of mathematics at the Accademia di Commercio e Nautica in Trieste, published a booklet in German entitled Theorie der Prämiengeschäfte (Theory of Premium Contracts) which is an old type of option contract. Almost like Bachelier’s now famous dissertation (1900), the work seems to have been forgotten shortly after it was published. However, almost every element of modern option pricing can be found in Bronzin’s book. He derives option prices for an illustrative set of distributions, including the Normal. - This volume includes a reprint of the original German text, a translation, as well as an appreciation of Bronzin's work from various perspectives (economics, history of finance, sociology, economic history) including some details about the professional life and circumstances of the author. The book brings Bronzin's early work to light again and adds an almost forgotten piece of research to the theory of option pricing.
Download or read book Importance of irrigated agriculture to the Ethiopian economy capturing the direct net benefits of irrigation written by Fitsum Hagos and published by IWMI. This book was released on 2009 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: Irrigation development has been identified as a means to stimulate economic growth and rural development in Ethiopia. However, little attempt has been made to quantify the contribution of irrigation to national income. Using data from selected irrigation schemes, representing small, medium and large-scale schemes of modern or traditional typologies; the present coverage and planned growth of irrigation, actual and expected contributions of irrigation to the national economy were quantified following the approach of adjusted gross margin analysis. Our results show that irrigation yields 219.7% higher income compared to the rainfed system while its current and future contribution to agricultural GDP is estimated to be about 5.7 and 12% although irrigation covers about 5 and 9% of the total cultivated land area, respectively.
Download or read book Global Climate Change Impacts in the United States written by U.S. Global Change Research Program and published by Cambridge University Press. This book was released on 2009-08-24 with total page 193 pages. Available in PDF, EPUB and Kindle. Book excerpt: Summarizes the science of climate change and impacts on the United States, for the public and policymakers.
Download or read book Managing the Risks of Extreme Events and Disasters to Advance Climate Change Adaptation written by Intergovernmental Panel on Climate Change and published by Cambridge University Press. This book was released on 2012-05-28 with total page 593 pages. Available in PDF, EPUB and Kindle. Book excerpt: Extreme weather and climate events, interacting with exposed and vulnerable human and natural systems, can lead to disasters. This Special Report explores the social as well as physical dimensions of weather- and climate-related disasters, considering opportunities for managing risks at local to international scales. SREX was approved and accepted by the Intergovernmental Panel on Climate Change (IPCC) on 18 November 2011 in Kampala, Uganda.
Download or read book Forecasting principles and practice written by Rob J Hyndman and published by OTexts. This book was released on 2018-05-08 with total page 380 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecasting is required in many situations. Stocking an inventory may require forecasts of demand months in advance. Telecommunication routing requires traffic forecasts a few minutes ahead. Whatever the circumstances or time horizons involved, forecasting is an important aid in effective and efficient planning. This textbook provides a comprehensive introduction to forecasting methods and presents enough information about each method for readers to use them sensibly.
