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Weather Derivatives

Weather Derivatives
Author: Antonis Alexandridis K.
Publisher: Springer Science & Business Media
Total Pages: 310
Release: 2012-11-30
Genre: Business & Economics
ISBN: 1461460719
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​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. ​

Weather Derivative Valuation

Weather Derivative Valuation
Author: Stephen Jewson
Publisher: Cambridge University Press
Total Pages: 393
Release: 2005-03-10
Genre: Business & Economics
ISBN: 1139444514
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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.

Modeling and Pricing in Financial Markets for Weather Derivatives

Modeling and Pricing in Financial Markets for Weather Derivatives
Author: Fred Espen Benth
Publisher: World Scientific
Total Pages: 255
Release: 2013
Genre: Business & Economics
ISBN: 9814401846
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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.

Weather Derivative Valuation

Weather Derivative Valuation
Author: Stephen Jewson
Publisher:
Total Pages: 373
Release: 2005
Genre: Weather derivatives
ISBN: 9780511121975
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Commodities and Commodity Derivatives

Commodities and Commodity Derivatives
Author: Helyette Geman
Publisher: John Wiley & Sons
Total Pages: 479
Release: 2009-09-24
Genre: Business & Economics
ISBN: 0470687738
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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

Enron

Enron
Author: Loren Fox
Publisher: John Wiley & Sons
Total Pages: 394
Release: 2004-01-30
Genre: Business & Economics
ISBN: 0471432202
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"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.

Derivatives

Derivatives
Author: Keith Cuthbertson
Publisher: John Wiley & Sons
Total Pages: 116
Release: 2019-12-16
Genre: Business & Economics
ISBN: 1119595592
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Three experts provide an authoritative guide to the theory and practice of derivatives Derivatives: Theory and Practice and its companion website explore the practical uses of derivatives and offer a guide to the key results on pricing, hedging and speculation using derivative securities. The book links the theoretical and practical aspects of derivatives in one volume whilst keeping mathematics and statistics to a minimum. Throughout the book, the authors put the focus on explanations and applications. Designed as an engaging resource, the book contains commentaries that make serious points in a lighthearted manner. The authors examine the real world of derivatives finance and include discussions on a wide range of topics such as the use of derivatives by hedge funds and the application of strip and stack hedges by corporates, while providing an analysis of how risky the stock market can be for long-term investors, and more. To enhance learning, each chapter contains learning objectives, worked examples, details of relevant finance blogs technical appendices and exercises.

Energy Derivatives

Energy Derivatives
Author: Peter C. Fusaro
Publisher: Energy Publishing Enterprises dba
Total Pages: 288
Release: 2000
Genre: Business & Economics
ISBN: 0970222807
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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.

Weather Derivatives

Weather Derivatives
Author: S. Volker
Publisher: GRIN Verlag
Total Pages: 77
Release: 2007-08
Genre:
ISBN: 3638710025
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Research Paper (undergraduate) from the year 2006 in the subject Business economics - Investment and Finance, grade: 1,7, University of Applied Sciences Essen, course: Case study in the core subject International Management - Risk Management, language: English, abstract: The ability to hedge price risks of industrial and consumer goods is well-developed an widely used, but, for many customers and companies, a variance in the unit volume being caused by a unexpected weather situation can be as detrimental to the bottom line as unit price variation. In the past, market participants were exposed defencelessly to this risk, because "weather has been anything but predictable..." There was bundle of incidents in the late 90's which lead to the development of weather derivatives as a new, flexible instrument to mitigate risk resulting from weather: First, the changing world climate causes more often extreme weather situations such as El Nino. Weather catastrophes like the hurricanes Katrina and Rita in the USA, summer flood of 2002 and the desert summer of 2003 in Germany have been increasing the awareness of weather risks among the population and in the management of the companies. Unforeseen weather conditions may cause a decline in companies' earnings. It is likely to imagine, that, for example, a cold and rainy summer will lead to a plummeting consumption of ice cream. In times of an upward tending importance of the shareholder value approach, a professional and effective risk management is inalienable. Insurance policies can cover catastrophic damages, but derivatives are an efficient tool to face financial risks resulting from the weather and to stabilize earnings. Secondly, the worldwide markets are changing. Formerly strictly regulated markets show an ongoing trend of deregulation and therefore a development from monopolies to wholesale markets. Facing a new, competitive situation, companies have to realize, that it does not last to hedge the unit price of their go

Securitisation of Derivatives and Alternative Asset Classes

Securitisation of Derivatives and Alternative Asset Classes
Author: Jan Job de Vries Robbé
Publisher: Kluwer Law International B.V.
Total Pages: 538
Release: 2005-01-01
Genre: Law
ISBN: 904112375X
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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.