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Challenging the Oldest Risk on Earth: A non-structural time-series approach to quantify weather risk - Softcover
Synopsis
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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About the Author
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. Condition: 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. Seller Inventory # 9783843391948
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Challenging the Oldest Risk on Earth : A non-structural time-series approach to quantify weather risk
Published by
LAP LAMBERT Academic Publishing, 2011
ISBN 10: 3843391947
ISBN 13: 9783843391948
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Taschenbuch. Condition: 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. Seller Inventory # 9783843391948
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Challenging the Oldest Risk on Earth
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Challenging the Oldest Risk on Earth
Published by
LAP LAMBERT Academic Publishing Jan 2011, 2011
ISBN 10: 3843391947
ISBN 13: 9783843391948
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Taschenbuch. Condition: 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. Seller Inventory # 9783843391948
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Challenging the Oldest Risk on Earth | A non-structural time-series approach to quantify weather risk
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Taschenbuch. Condition: 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. Seller Inventory # 107138976
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