Challenging the Oldest Risk on Earth
A non-structural time-series approach to quantify weather risk
Published on 12. January 2011
Book
Paperback/Softback
60 pages
978-3-8433-9194-8 (ISBN)
Description
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.
More details
Language
English
Place of publication
Germany
Product notice
Paperback (trade)
Unsewn / adhesive bound
Dimensions
Height: 220 mm
Width: 150 mm
Thickness: 5 mm
Weight
107 gr
ISBN-13
978-3-8433-9194-8 (9783843391948)
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Schweitzer Classification
Person
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.