Weather Derivatives- Modelling and Pricing Weather Related Risk
Year: 2013 Language: english Author: Antonis K. Alexandridis & Achilleas D. Zapranis Genre: Handbook Publisher: Springer Format: PDF Quality: eBook Pages count: 309 Description: In the last decade, a new category of financial derivatives was developed, namely, weather derivatives. These financial products were developed by energy and utility companies as an effective tool for hedging the volumetric risk of the energy units sold, rather than the price risk of each unit. Weather derivatives are financial instruments that can be used in order to reduce risk associated with adverse or unexpected weather conditions. The payoff of a weather derivative depends upon the index of an underlying weather measure such as rainfall, temperature, humidity, or snowfall. In contrast to the classical financial markets, the weather market is incomplete in the sense that the underlying assets cannot be stored or traded. The weather market is one of the fastest developing markets. However, many investors are hesitant to actively enter the market. The main reasons are the difficulty in pricing the traded financial products as well as the difficulty in accurately modeling the underlying weather variables. In addition, the number of publications arising from the academic community is limited. Finally, most investors lack the knowledge of the existence of the weather market and the benefits that it can provide. The aim of this book is to provide a concise and rigorous treatment of the stochastic modeling of weather market as well as to significantly contribute to the existing literature. Presenting a pricing and modeling approach for weather derivatives written on various underlying weather variables will help investors and companies to accurately price weather derivatives and will help them to effectively hedge against weather risk.
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Weather Derivatives- Modelling and Pricing Weather Related Risk
Language: english
Author: Antonis K. Alexandridis & Achilleas D. Zapranis
Genre: Handbook
Publisher: Springer
Format: PDF
Quality: eBook
Pages count: 309
Description: In the last decade, a new category of financial derivatives was developed, namely,
weather derivatives. These financial products were developed by energy and utility
companies as an effective tool for hedging the volumetric risk of the energy units
sold, rather than the price risk of each unit. Weather derivatives are financial
instruments that can be used in order to reduce risk associated with adverse or
unexpected weather conditions. The payoff of a weather derivative depends upon
the index of an underlying weather measure such as rainfall, temperature, humidity,
or snowfall. In contrast to the classical financial markets, the weather market is
incomplete in the sense that the underlying assets cannot be stored or traded.
The weather market is one of the fastest developing markets. However, many
investors are hesitant to actively enter the market. The main reasons are the
difficulty in pricing the traded financial products as well as the difficulty in
accurately modeling the underlying weather variables. In addition, the number of
publications arising from the academic community is limited. Finally, most
investors lack the knowledge of the existence of the weather market and the benefits
that it can provide.
The aim of this book is to provide a concise and rigorous treatment of the
stochastic modeling of weather market as well as to significantly contribute to the
existing literature. Presenting a pricing and modeling approach for weather
derivatives written on various underlying weather variables will help investors
and companies to accurately price weather derivatives and will help them to
effectively hedge against weather risk.
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