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Anglický jazyk
Challenging the Oldest Risk on Earth
Autor: Paul Gebhardt
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... Viac o knihe
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O knihe
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.
- Vydavateľstvo: LAP LAMBERT Academic Publishing
- Rok vydania: 2011
- Formát: Paperback
- Rozmer: 220 x 150 mm
- Jazyk: Anglický jazyk
- ISBN: 9783843391948
