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The Pricing of Weather Derivatives including Meteorological Forecasts - Elena Parmigiani
Vergriffenes Buch, derzeit bei uns nicht verfügbar.
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Elena Parmigiani:
The Pricing of Weather Derivatives including Meteorological Forecasts - Taschenbuch

2013, ISBN: 9783656600596

ID: 9783656600596

Bachelor Thesis from the year 2013 in the subject Business economics - Investment and Finance, grade: 4/4, , language: English, abstract: 1. Abstract This paper analyses weather derivatives and the issue of pricing these financial instruments. The non-tradability of the underlying makes their pricing not straightforward and even if the Chicago Mercantile Exchange began trading the first weather contract in 1999, the market still witnesses very low volumes and is relatively illiquid. This theoretical analysis is focused on instruments whose underlying is temperature, since they are the most traded. Due to the assumption of informational efficient markets, all available information should theoretically be included in the prices. However most existing models focus only on historical observations of temperature, actually excluding some relevant information. The few models that have instead considered weather forecasts are analysed, and in particular the model introduced by Ritter, Musshoff, and Odening to price temperature monthly futures including weather forecasts is described in details. I`ve performed an analysis applying a simplified version of the model described, based on temperature data from Tampa, Florida, in 2007. The results show that models with meteorological forecasts indeed outperform models that ignore them. The Pricing of Weather Derivatives including Meteorological Forecasts: Bachelor Thesis from the year 2013 in the subject Business economics - Investment and Finance, grade: 4/4, , language: English, abstract: 1. Abstract This paper analyses weather derivatives and the issue of pricing these financial instruments. The non-tradability of the underlying makes their pricing not straightforward and even if the Chicago Mercantile Exchange began trading the first weather contract in 1999, the market still witnesses very low volumes and is relatively illiquid. This theoretical analysis is focused on instruments whose underlying is temperature, since they are the most traded. Due to the assumption of informational efficient markets, all available information should theoretically be included in the prices. However most existing models focus only on historical observations of temperature, actually excluding some relevant information. The few models that have instead considered weather forecasts are analysed, and in particular the model introduced by Ritter, Musshoff, and Odening to price temperature monthly futures including weather forecasts is described in details. I`ve performed an analysis applying a simplified version of the model described, based on temperature data from Tampa, Florida, in 2007. The results show that models with meteorological forecasts indeed outperform models that ignore them., GRIN Verlag

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The Pricing of Weather Derivatives including Meteorological Forecasts - Elena Parmigiani
Vergriffenes Buch, derzeit bei uns nicht verfügbar.
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Elena Parmigiani:
The Pricing of Weather Derivatives including Meteorological Forecasts - Taschenbuch

2013, ISBN: 9783656600596

[ED: Taschenbuch], [PU: GRIN Verlag], Neuware - Bachelor Thesis from the year 2013 in the subject Business economics - Investment and Finance, grade: 4/4, , language: English, abstract: 1. Abstract This paper analyses weather derivatives and the issue of pricing these financial instruments. The non-tradability of the underlying makes their pricing not straightforward and even if the Chicago Mercantile Exchange began trading the first weather contract in 1999, the market still witnesses very low volumes and is relatively illiquid. This theoretical analysis is focused on instruments whose underlying is temperature, since they are the most traded. Due to the assumption of informational efficient markets, all available information should theoretically be included in the prices. However most existing models focus only on historical observations of temperature, actually excluding some relevant information. The few models that have instead considered weather forecasts are analysed, and in particular the model introduced by Ritter, Musshoff, and Odening to price temperature monthly futures including weather forecasts is described in details. I've performed an analysis applying a simplified version of the model described, based on temperature data from Tampa, Florida, in 2007. The results show that models with meteorological forecasts indeed outperform models that ignore them., [SC: 0.00], Neuware, gewerbliches Angebot, 211x151x7 mm, [GW: 84g]

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The Pricing of Weather Derivatives including Meteorological Forecasts - Parmigiani, Elena
Vergriffenes Buch, derzeit bei uns nicht verfügbar.
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Parmigiani, Elena:
The Pricing of Weather Derivatives including Meteorological Forecasts - Taschenbuch

2014, ISBN: 9783656600596

[ED: Softcover], [PU: Grin Verlag], Bachelor Thesis from the year 2013 in the subject Business economics - Investment and Finance, grade: 4/4, , language: English, abstract: 1. Abstract This paper analyses weather derivatives and the issue of pricing these financial instruments. The non-tradability of the underlying makes their pricing not straightforward and even if the Chicago Mercantile Exchange began trading the first weather contract in 1999, the market still witnesses very low volumes and is relatively illiquid. This theoretical analysis is focused on instruments whose underlying is temperature, since they are the most traded. Due to the assumption of informational efficient markets, all available information should theoretically be included in the prices. However most existing models focus only on historical observations of temperature, actually excluding some relevant information. The few models that have instead considered weather forecasts are analysed, and in particular the model introduced by Ritter, Musshoff, and Odening to price temperature monthly futures including weather forecasts is described in details. I've performed an analysis applying a simplified version of the model described, based on temperature data from Tampa, Florida, in 2007. The results show that models with meteorological forecasts indeed outperform models that ignore them.2014. 48 S. 1 Farbabb. 210 mmSofort lieferbar, [SC: 0.00]

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The Pricing of Weather Derivatives including Meteorological Forecasts - Elena Parmigiani
Vergriffenes Buch, derzeit bei uns nicht verfügbar.
(*)
Elena Parmigiani:
The Pricing of Weather Derivatives including Meteorological Forecasts - Taschenbuch

2013, ISBN: 9783656600596

[ED: Taschenbuch], [PU: GRIN Verlag GmbH], Neuware - Bachelor Thesis from the year 2013 in the subject Business economics - Investment and Finance, grade: 4/4, , language: English, abstract: 1. Abstract This paper analyses weather derivatives and the issue of pricing these financial instruments. The non-tradability of the underlying makes their pricing not straightforward and even if the Chicago Mercantile Exchange began trading the first weather contract in 1999, the market still witnesses very low volumes and is relatively illiquid. This theoretical analysis is focused on instruments whose underlying is temperature, since they are the most traded. Due to the assumption of informational efficient markets, all available information should theoretically be included in the prices. However most existing models focus only on historical observations of temperature, actually excluding some relevant information. The few models that have instead considered weather forecasts are analysed, and in particular the model introduced by Ritter, Musshoff, and Odening to price temperature monthly futures including weather forecasts is described in details. I've performed an analysis applying a simplified version of the model described, based on temperature data from Tampa, Florida, in 2007. The results show that models with meteorological forecasts indeed outperform models that ignore them.

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The Pricing of Weather Derivatives including Meteorological Forecasts - Elena Parmigiani
Vergriffenes Buch, derzeit bei uns nicht verfügbar.
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Elena Parmigiani:
The Pricing of Weather Derivatives including Meteorological Forecasts - Taschenbuch

2014, ISBN: 9783656600596

ID: 29315288

Softcover, Buch, [PU: GRIN Verlag]

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Details zum Buch
The Pricing of Weather Derivatives Including Meteorological Forecasts
Autor:

Elena Parmigiani

Titel:

The Pricing of Weather Derivatives Including Meteorological Forecasts

ISBN-Nummer:

Detailangaben zum Buch - The Pricing of Weather Derivatives Including Meteorological Forecasts


EAN (ISBN-13): 9783656600596
Taschenbuch
Erscheinungsjahr: 2013
Herausgeber: GRIN Verlag GmbH

Buch in der Datenbank seit 10.10.2014 09:07:35
Buch zuletzt gefunden am 09.11.2016 10:19:32
ISBN/EAN: 9783656600596

ISBN - alternative Schreibweisen:
978-3-656-60059-6


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