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Application of long memory time series model on weather derivative pricing.

Wong, Chun Yin. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2007. / Includes bibliographical references (leaves 45-46). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Weather Risks and Weather Derivatives --- p.4 / Chapter 2.1 --- Weather Risk --- p.4 / Chapter 2.2 --- Weather Derivatives --- p.6 / Chapter 2.3 --- Importance of Long Term Forecasting --- p.7 / Chapter 3 --- Modeling the Temperature --- p.9 / Chapter 3.1 --- Stationary Long-Memory Time Series Model --- p.13 / Chapter 3.2 --- Use of Temporal Aggregation Model --- p.19 / Chapter 4 --- Weather Derivative Valuation Models --- p.26 / Chapter 4.1 --- List of Assumptions --- p.27 / Chapter 4.2 --- Valuation Formula --- p.30 / Chapter 4.3 --- Forecasting power of daily temperature model --- p.32 / Chapter 4.4 --- Empirical Result --- p.37 / Chapter 5 --- Summary and Conclusion --- p.43 / Bibliography --- p.45

Identiferoai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_326007
Date January 2007
ContributorsWong, Chun Yin., Chinese University of Hong Kong Graduate School. Division of Risk Management Science.
Source SetsThe Chinese University of Hong Kong
LanguageEnglish, Chinese
Detected LanguageEnglish
TypeText, bibliography
Formatprint, iv, 45 leaves : ill. ; 30 cm.
RightsUse of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/)

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