Weather Derivative Valuation

The Meteorological, Statistical, Financial and Mathematical Foundations

by Stephen Jewson, Anders Brix, Christine Ziehmann

Subject categories
ISBNs
  • 9780521843713
  • 9780511111983
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.
  • Cambridge University Press; March 2005
  • ISBN: 9780511111983
  • Read online, or download in secure PDF format
  • Title: Weather Derivative Valuation
  • Author: Stephen Jewson; Anders Brix; Christine Ziehmann (contrib.)
  • Imprint: Cambridge University Press
Subject categories
ISBNs
  • 9780521843713
  • 9780511111983

In The Press

Review of the hardback: 'Weather Derivative Valuation draws on both finance and meteorology, with a healthy dose of mathematics and statistics, to provide the practitioner with a comprehensive guide to the various methods for pricing and hedging weather derivative contracts. While no perfect model may exist, Jewson and Brix give the reader the background necessary to make informed choices between competing techniques.' William Gebhardt, Merrill Lynch

Subject categories
ISBNs
  • 9780521843713
  • 9780511111983