Skip to main content
Top
Published in:
Cover of the book

2013 | OriginalPaper | Chapter

1. The Weather Derivatives Market

Authors : Antonis K. Alexandridis, Achilleas D. Zapranis

Published in: Weather Derivatives

Publisher: Springer New York

Activate our intelligent search to find suitable subject content or patents.

search-config
loading …

Abstract

In this chapter, the various aspects of the weather market are discussed. The applications and purpose of weather derivatives will be presented. Our aim is to analyze the weather market and emphasize in the factors that restrain the weather market to further evolve. At the end of the chapter, an outline of the book is given.

Dont have a licence yet? Then find out more about our products and how to get one now:

Springer Professional "Wirtschaft+Technik"

Online-Abonnement

Mit Springer Professional "Wirtschaft+Technik" erhalten Sie Zugriff auf:

  • über 102.000 Bücher
  • über 537 Zeitschriften

aus folgenden Fachgebieten:

  • Automobil + Motoren
  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Elektrotechnik + Elektronik
  • Energie + Nachhaltigkeit
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Maschinenbau + Werkstoffe
  • Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

Springer Professional "Technik"

Online-Abonnement

Mit Springer Professional "Technik" erhalten Sie Zugriff auf:

  • über 67.000 Bücher
  • über 390 Zeitschriften

aus folgenden Fachgebieten:

  • Automobil + Motoren
  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Elektrotechnik + Elektronik
  • Energie + Nachhaltigkeit
  • Maschinenbau + Werkstoffe




 

Jetzt Wissensvorsprung sichern!

Springer Professional "Wirtschaft"

Online-Abonnement

Mit Springer Professional "Wirtschaft" erhalten Sie Zugriff auf:

  • über 67.000 Bücher
  • über 340 Zeitschriften

aus folgenden Fachgebieten:

  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Versicherung + Risiko




Jetzt Wissensvorsprung sichern!

Footnotes
3
The number of cities that the CME trades weather contracts at the end of 2009
 
4
Algeria, Angola, Ecuador, Iran, Iraq, Kuwait, Libya, Nigeria, Qatar, Saudi Arabia, the United Arab Emirates, and Venezuela
 
Literature
go back to reference Alaton P, Djehince B, Stillberg D (2002) On modelling and pricing weather derivatives. Appl Math Finance 9:1–20CrossRef Alaton P, Djehince B, Stillberg D (2002) On modelling and pricing weather derivatives. Appl Math Finance 9:1–20CrossRef
go back to reference Alexandridis A (2010) Modelling and pricing temperature derivatives using wavelet networks and wavelet analysis. University of Macedonia, Thessaloniki Alexandridis A (2010) Modelling and pricing temperature derivatives using wavelet networks and wavelet analysis. University of Macedonia, Thessaloniki
go back to reference van Asseldonk MAPM (2003) Insurance against weather risk: use of heating degree-days from non-local stations for weather derivatives. Theor Appl Climatol 74:137–144CrossRef van Asseldonk MAPM (2003) Insurance against weather risk: use of heating degree-days from non-local stations for weather derivatives. Theor Appl Climatol 74:137–144CrossRef
go back to reference Ceniceros R (2006) Weather derivatives running hot. Bus Insur 40(32), p. 11 Ceniceros R (2006) Weather derivatives running hot. Bus Insur 40(32), p. 11
go back to reference Challis S (1999) Bright forecast for profits. Reactions June edition Challis S (1999) Bright forecast for profits. Reactions June edition
go back to reference Dubrovsky M, Buchtele J, Zalud Z (2004) High-frequency and low-frequency variability in stochastic daily weather generator and its effect on agricultural and hydrologic modelling. Climate Change 63:145–179CrossRef Dubrovsky M, Buchtele J, Zalud Z (2004) High-frequency and low-frequency variability in stochastic daily weather generator and its effect on agricultural and hydrologic modelling. Climate Change 63:145–179CrossRef
go back to reference Dutton JA (2002) Opportunities and priorities in a new era for weather derivatives. Bull Am Meteorol Soc 83:1303–1311 Dutton JA (2002) Opportunities and priorities in a new era for weather derivatives. Bull Am Meteorol Soc 83:1303–1311
go back to reference East M (2005) Issues of geographical basis risk in weather derivatives for Australian wheat farmers. In: 49th annual conference of the Australian Agricultural and Resource Economics Society, Coffs Harbour, Feb 2005 East M (2005) Issues of geographical basis risk in weather derivatives for Australian wheat farmers. In: 49th annual conference of the Australian Agricultural and Resource Economics Society, Coffs Harbour, Feb 2005
go back to reference Edwards M, Simmons P (2004) Preliminary results for the measurement of willingness to pay for climate derivatives. In: 48th annual conference of the Australian Agricultural and Resource Economics Society, Melbourne, Feb 2004 Edwards M, Simmons P (2004) Preliminary results for the measurement of willingness to pay for climate derivatives. In: 48th annual conference of the Australian Agricultural and Resource Economics Society, Melbourne, Feb 2004
go back to reference Engle RF, Mustafa C, Rice J (1992) Modelling peak electricity demand. J Forecasting 11:241–251CrossRef Engle RF, Mustafa C, Rice J (1992) Modelling peak electricity demand. J Forecasting 11:241–251CrossRef
go back to reference Geman H (1999) Insurance and weather derivatives. RISK Books, London Geman H (1999) Insurance and weather derivatives. RISK Books, London
go back to reference Hanley M (1999) Hedging the force of nature. Risk Professional 1:21–25 Hanley M (1999) Hedging the force of nature. Risk Professional 1:21–25
go back to reference Harrington S, Niehaus G (2003) United grain growers: enterprise risk management and weather risk. Risk Manage Insur Rev 6(2):193–217CrossRef Harrington S, Niehaus G (2003) United grain growers: enterprise risk management and weather risk. Risk Manage Insur Rev 6(2):193–217CrossRef
go back to reference Henley A, Peirson J (1998) Residential energy demand and the interaction of price and temperature: British experimental evidence. Energy Econ 20:157–171CrossRef Henley A, Peirson J (1998) Residential energy demand and the interaction of price and temperature: British experimental evidence. Energy Econ 20:157–171CrossRef
go back to reference Hess U, Richter K, Stoppa A (2002) Weather risk management for agriculture and agri-business in developing countries. In: Dischel RS (ed) Climate risk and the weather market: financial risk management with weather hedges. Risk Books, London Hess U, Richter K, Stoppa A (2002) Weather risk management for agriculture and agri-business in developing countries. In: Dischel RS (ed) Climate risk and the weather market: financial risk management with weather hedges. Risk Books, London
go back to reference Hull CJ (2003) Option, futures and other derivatives, 5th edn. Prentice Hall, New Jersey Hull CJ (2003) Option, futures and other derivatives, 5th edn. Prentice Hall, New Jersey
go back to reference Jewson S, Brix A, Ziehmann C (2005) Weather derivative valuation: the meteorological, statistical, financial and mathematical foundations. Cambridge University Press, Cambridge, UKCrossRef Jewson S, Brix A, Ziehmann C (2005) Weather derivative valuation: the meteorological, statistical, financial and mathematical foundations. Cambridge University Press, Cambridge, UKCrossRef
go back to reference Lee Y, Oren SS (2007) An equilibrium pricing model for weather derivatives in a multi-commodity setting. Paper presented at the decision and risk analysis, Univeristy of Texas, Dallas, 21–22 May Lee Y, Oren SS (2007) An equilibrium pricing model for weather derivatives in a multi-commodity setting. Paper presented at the decision and risk analysis, Univeristy of Texas, Dallas, 21–22 May
go back to reference Li X, Sailor DJ (1995) Electricity use sensitivity and climate and climate change. World Resour Rev 3:334–346 Li X, Sailor DJ (1995) Electricity use sensitivity and climate and climate change. World Resour Rev 3:334–346
go back to reference Manfredo MR, Richards TJ (2009) Hedging with weather derivative: a role for options in reducing basis risk. Appl Financ Econ 19(2):87–97CrossRef Manfredo MR, Richards TJ (2009) Hedging with weather derivative: a role for options in reducing basis risk. Appl Financ Econ 19(2):87–97CrossRef
go back to reference Muller A, Grandi M (2000) Weather derivatives: a risk management tool for weather-sensitive industries. Geneva Pap Risk Insur 25(1):273–287CrossRef Muller A, Grandi M (2000) Weather derivatives: a risk management tool for weather-sensitive industries. Geneva Pap Risk Insur 25(1):273–287CrossRef
go back to reference Myers RJ, Liu Y, Hanson S (2005) How should we value agricultural insurance contracts. In: American agricultural economics associastion annual meeting, Rhode Island, 24–27 July 2005 Myers RJ, Liu Y, Hanson S (2005) How should we value agricultural insurance contracts. In: American agricultural economics associastion annual meeting, Rhode Island, 24–27 July 2005
go back to reference Peirson J, Henley A (1994) Electricity load and temperature issues in dynamic specification. Energy Econ 16:235–243CrossRef Peirson J, Henley A (1994) Electricity load and temperature issues in dynamic specification. Energy Econ 16:235–243CrossRef
go back to reference Pirrong C, Jermakyan M (2008) The price of power: the valuation of power and weather derivatives. J Bank Finance 32(12):2520–2529CrossRef Pirrong C, Jermakyan M (2008) The price of power: the valuation of power and weather derivatives. J Bank Finance 32(12):2520–2529CrossRef
go back to reference Rohrer MB (2004) The relevance of basis risk in the weather derivatives market. In: Constantino M, Brebbia CA (eds) Computational finance and its applications. WIT Press, Southampton, pp 67–76 Rohrer MB (2004) The relevance of basis risk in the weather derivatives market. In: Constantino M, Brebbia CA (eds) Computational finance and its applications. WIT Press, Southampton, pp 67–76
go back to reference Sailor DJ, Munoz R (1997) Sensitivity of electricity and natural gas consumption to climate in the USA – meteorology and results for eight states. Energy Intern J 22:987–998 Sailor DJ, Munoz R (1997) Sensitivity of electricity and natural gas consumption to climate in the USA – meteorology and results for eight states. Energy Intern J 22:987–998
go back to reference Simmons P, Edwards M, Byrne J (2007) Willingness to pay for weather derivatives by Australian wheat farmers. In: European association of agricultural economists, 101st Seminar, Berlin, 5–6 July 2007 Simmons P, Edwards M, Byrne J (2007) Willingness to pay for weather derivatives by Australian wheat farmers. In: European association of agricultural economists, 101st Seminar, Berlin, 5–6 July 2007
go back to reference Turvey CG (2001) Weather derivatives for specific event risks in agriculture. Rev Agricul Econ 23(2):333–351CrossRef Turvey CG (2001) Weather derivatives for specific event risks in agriculture. Rev Agricul Econ 23(2):333–351CrossRef
go back to reference Woodard JD, Garcia P (2008) Basis risk and weather hedging effectiveness. Agricul Finance Rev 68:111–124 Woodard JD, Garcia P (2008) Basis risk and weather hedging effectiveness. Agricul Finance Rev 68:111–124
go back to reference Zapranis A, Alexandridis A (2009) Model identification in wavelet neural networks framework. In: Iliadis L, Vlahavas I, Bramer M (eds) Artificial intelligence applications and innovations III, vol IFIP 296, Springer, New York, pp 267–277 Zapranis A, Alexandridis A (2009) Model identification in wavelet neural networks framework. In: Iliadis L, Vlahavas I, Bramer M (eds) Artificial intelligence applications and innovations III, vol IFIP 296, Springer, New York, pp 267–277
Metadata
Title
The Weather Derivatives Market
Authors
Antonis K. Alexandridis
Achilleas D. Zapranis
Copyright Year
2013
Publisher
Springer New York
DOI
https://doi.org/10.1007/978-1-4614-6071-8_1