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Weather Derivative Valuation


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Table of Contents

List of figures; List of tables; Acknowledgements; 1. Weather derivatives and the weather derivatives market; 2. Data cleaning and trends; 3. The valuation of single contracts using burn analysis; 4. The valuation of single contracts using index modelling; 5. Further topics in the valuation of single contracts; 6. Valuation of single contracts using daily methods; 7. Modelling portfolios; 8. Managing portfolios; 9. Introduction to meteorological forecasts; 10. The use of meteorological forecasts in pricing; 11. Arbitrage pricing models; 12. Risk management; 13. Modelling non-temperature data; Appendices; References; Index.

Promotional Information

This book, first published in 2005, covers meteorological, statistical, financial and mathematical issues arising in the pricing and risk management of weather derivatives.

About the Author

Stephen Jewson works for a financial consultancy where he manages a group that produces commercial software and meteorological data for the weather derivative industry. He has published a large number of articles in the fields of fundamental climate research, applied meteorology and weather derivatives.


Review of the hardback: 'Weather Derivative Valuation draws on both finance and meteorology, with a healthy dose of mathematics and statistics, to provide the practitioner with a comprehensive guide to the various methods for pricing and hedging weather derivative contracts. While no perfect model may exist, Jewson and Brix give the reader the background necessary to make informed choices between competing techniques.' William Gebhardt, Merrill Lynch
Review of the hardback: 'The weather derivatives market is exciting, dynamic and growing. This book is the most complete treatment I have seen of the many issues surrounding valuation of weather derivatives, starting from the basic principles, and then covering all the bases including meteorological data analysis, pricing, portfolio management, incorporation of forecasts and risk management. As a practitioner in the market, I found this book comprehensive and excellently written. Jewson and Brix have taken a complex subject and made it both interesting to read and easy to understand. I would have no hesitation in recommending it to others, both experts in the field and those approaching the subject for the first time.' Gearoid Lane, Centrica
Review of the hardback: 'The book covers all of the latest topics in weather derivative pricing, valuation and risk management in a way that is rigorous, and yet also accessible to the non-mathematician. Highly recommended for all involved in weather derivatives, whether they are hedgers, traders, investors, marketers or risk managers.' Martin Jones, Chief Investment Officer, Coriolis Capital Limited
"This is the first book to cover all the meteorological, statistical, financial, and mathematical issues that rise in pricing and risk management of weather derivatives. Abstracts of Public Administration, Development, and the Environment

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