WEATHER DERIVATIVE VALUATION 天气衍生品估值.pdf

W E A T H E R D E R I V A T I V E V A L U A T I O N Weather Derivative Valuation is the first book to cover all the meteorolog- ical, statistical, financial and mathematical issues that arise in the pricing and risk management of weather derivatives. There are chapters on meteo- rological 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 informa- tion and theoretical insight into the world of weather derivative pricing. Stephen Jewson works for a financial consultancy, where he manages a group that produces commercial software and meteorological data for the weather derivative industry. He has published a large number of articles in the fields of fundamental climate research, applied meteorology and weather derivatives. Anders Brix works for a financial software and consultancy company, where he runs a group with responsibility for researching and implementing stochastic models for natural catastrophes and weather risk. He has carried out research in probability and statistics, and has applied statistical mod- elling to a wide variety of fields including weather, insurance, weed science and medical research. WEATHER DERIVATIVE VALUATION The Meteorological, Statist