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Sinopsis
The main objective of this research is to price temperature-related weather derivatves independent of location and payoff structure. We use historical weather data to make distributional forecasts for 10 different weather locations in Germany. Error terms of our forecasts are bootstraped from the empricial distribution to incorporate the non- normality of weather surprises. Explicit pricing dynamics of our model are analysed, along with a discussion on indifference pricing.
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Reseña del editor
The main objective of this research is to price temperature-related weather derivatves independent of location and payoff structure. We use historical weather data to make distributional forecasts for 10 different weather locations in Germany. Error terms of our forecasts are bootstraped from the empricial distribution to incorporate the non- normality of weather surprises. Explicit pricing dynamics of our model are analysed, along with a discussion on indifference pricing.
Biografía del autor
Paul Gebhardt is a PhD candidate in Finance at WHU ? Otto Beisheim School of Management. He holds a Master?s degree in Financial Economics from Maastricht University with a major in quantitative finance and econometrics.
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Challenging the Oldest Risk on Earth
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LAP LAMBERT Academic Publishing Jan 2011, 2011
ISBN 10: 3843391947
ISBN 13: 9783843391948
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Taschenbuch
Librería: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Alemania
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Taschenbuch. Condición: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -The main objective of this research is to price temperature-related weather derivatves independent of location and payoff structure. We use historical weather data to make distributional forecasts for 10 different weather locations in Germany. Error terms of our forecasts are bootstraped from the empricial distribution to incorporate the non- normality of weather surprises. Explicit pricing dynamics of our model are analysed, along with a discussion on indifference pricing. 60 pp. Englisch. Nº de ref. del artículo: 9783843391948
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Challenging the Oldest Risk on Earth : A non-structural time-series approach to quantify weather risk
Publicado por
LAP LAMBERT Academic Publishing, 2011
ISBN 10: 3843391947
ISBN 13: 9783843391948
Nuevo
Taschenbuch
Librería: AHA-BUCH GmbH, Einbeck, Alemania
Calificación del vendedor: 5 de 5 estrellas
Taschenbuch. Condición: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - The main objective of this research is to price temperature-related weather derivatves independent of location and payoff structure. We use historical weather data to make distributional forecasts for 10 different weather locations in Germany. Error terms of our forecasts are bootstraped from the empricial distribution to incorporate the non- normality of weather surprises. Explicit pricing dynamics of our model are analysed, along with a discussion on indifference pricing. Nº de ref. del artículo: 9783843391948
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Challenging the Oldest Risk on Earth
Publicado por
LAP LAMBERT Academic Publishing, 2011
ISBN 10: 3843391947
ISBN 13: 9783843391948
Nuevo
Tapa blanda
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Challenging the Oldest Risk on Earth
Publicado por
LAP LAMBERT Academic Publishing Jan 2011, 2011
ISBN 10: 3843391947
ISBN 13: 9783843391948
Nuevo
Taschenbuch
Librería: buchversandmimpf2000, Emtmannsberg, BAYE, Alemania
Calificación del vendedor: 5 de 5 estrellas
Taschenbuch. Condición: Neu. This item is printed on demand - Print on Demand Titel. Neuware -The main objective of this research is to price temperature-related weather derivatves independent of location and payoff structure. We use historical weather data to make distributional forecasts for 10 different weather locations in Germany. Error terms of our forecasts are bootstraped from the empricial distribution to incorporate the non- normality of weather surprises. Explicit pricing dynamics of our model are analysed, along with a discussion on indifference pricing.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 60 pp. Englisch. Nº de ref. del artículo: 9783843391948
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Challenging the Oldest Risk on Earth | A non-structural time-series approach to quantify weather risk
Publicado por
LAP LAMBERT Academic Publishing, 2011
ISBN 10: 3843391947
ISBN 13: 9783843391948
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Librería: preigu, Osnabrück, Alemania
Calificación del vendedor: 5 de 5 estrellas
Taschenbuch. Condición: Neu. Challenging the Oldest Risk on Earth | A non-structural time-series approach to quantify weather risk | Paul Gebhardt | Taschenbuch | 60 S. | Englisch | 2011 | LAP LAMBERT Academic Publishing | EAN 9783843391948 | Verantwortliche Person für die EU: preigu GmbH & Co. KG, Lengericher Landstr. 19, 49078 Osnabrück, mail[at]preigu[dot]de | Anbieter: preigu. Nº de ref. del artículo: 107138976
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