Μοντέλα τιμολόγησης παραγώγων καιρικών φαινομένων
On modeling and pricing weather derivatives
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Keywords
Στοχαστικές διαδικασίες ; Στατιστική ανάλυση ; Χρηματοοικονομικές αγορές ; Παράγωγα ; Πιθανότητες ; Διαφορικές εξισώσεις ; Καιρός ; ΘερμοκρασίαAbstract
In this thesis a weather derivatives pricing model, considering temperature as the
underlying variable will be studied. The use of historic data enables us suggest a
stochastic process and, specifically, the Ornstein-Uhlebeck stochastic process, which
describes the fluctuation of temperature. In the first place, the concept of derivatives
and the categories into which are divided, are analyzed and the needs of derivatives in
the financial markets are indicated. Moreover, basic definitions of the probability and
stochastic processes theory and martingales, as well as Brownian motion and
stochastic differential equations are introduced, since all these theories are closely
related to our pricing model. In conclusion, both a proper weather derivatives
stochastic pricing model and its applications, which take temperature as an underlying
variable will be considered.
Postgraduate Studies Programme
Αναλογιστική Επιστήμη και Διοικητική ΚινδύνουDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής ΕπιστήμηςNumber of pages
81Language
GreekCollections
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές