Challenging the Oldest Risk on Earth - A non-structural time-series approach to quantify weather risk

door Gebhardt, Paul
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€ 48,98
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Gebhardt, Paul Challenging the Oldest Risk on Earth - A non-structural time-series approach to quantify weather risk
Gebhardt, Paul - Challenging the Oldest Risk on Earth - A non-structural time-series approach to quantify weather risk

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Levering: tussen 2021-05-25 en 2021-05-27
Verkoop en verzending: Dodax EU

Omschrijving

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.

Bijdragers

Schrijver:
Gebhardt, Paul

Productdetails

Biografie:
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.
Taal:
Englisch
Aantal pagina’s:
60
Mediatype:
Taschenbuch
Uitgever van videogames:
LAP Lambert Academic Publishing

Basisgegevens

Product Type:
Paperback book
Afmetingen pakket:
0.22 x 0.15 x 0.004 m; 0.136 kg
GTIN:
09783843391948
DUIN:
R5IVSBLQNNF
€ 48,98
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