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Weather Derivatives

Modeling and Pricing Weather-Related Risk

  • Book
  • © 2013

Overview

Authors:
  1. Antonis Alexandridis K.

    1. Thessaloniki, Greece

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    You can also search for this author in PubMed   Google Scholar

  2. Achilleas D. Zapranis

    1. Thessaloniki, Greece

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    You can also search for this author in PubMed   Google Scholar

  • First book to examine the advantages and disadvantages of existing modeling and pricing methodologies associated with weather derivatives

  • Presents state-of-the-art tools and strategies for studying weather variables

  • Links weather variables to the weather market in the context of weather risk management?

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Table of contents (10 chapters)

  1. Front Matter

    Pages i-xv
    Download chapter PDF

  2. The Weather Derivatives Market

    • Antonis K. Alexandridis, Achilleas D. Zapranis
    Pages 1-20

  3. Introduction to Stochastic Calculus

    • Antonis K. Alexandridis, Achilleas D. Zapranis
    Pages 21-35

  4. Handling the Data

    • Antonis K. Alexandridis, Achilleas D. Zapranis
    Pages 37-54

  5. Pricing Approaches of Temperature Derivatives

    • Antonis K. Alexandridis, Achilleas D. Zapranis
    Pages 55-85

  6. Modeling the Daily Average Temperature

    • Antonis K. Alexandridis, Achilleas D. Zapranis
    Pages 87-164

  7. Pricing Temperature Derivatives

    • Antonis K. Alexandridis, Achilleas D. Zapranis
    Pages 165-190

  8. Using Meteorological Forecasts for Improving Weather Derivative Pricing

    • Antonis K. Alexandridis, Achilleas D. Zapranis
    Pages 191-201

  9. The Effects of the Geographical and Basis Risk

    • Antonis K. Alexandridis, Achilleas D. Zapranis
    Pages 203-215

  10. Pricing the Power of Wind

    • Antonis K. Alexandridis, Achilleas D. Zapranis
    Pages 217-239

  11. Precipitation Derivatives

    • Antonis K. Alexandridis, Achilleas D. Zapranis
    Pages 241-270

  12. Back Matter

    Pages 271-300
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Keywords

About this book

​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. ​

Authors and Affiliations

  • Thessaloniki, Greece

    Antonis Alexandridis K., Achilleas D. Zapranis

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