Modelling temperature derivatives using Levy processes

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dc.contributor.authorWambugu, Martin
dc.date.accessioned2016-03-18T17:18:17Z
dc.date.available2016-03-18T17:18:17Z
dc.date.issued2015-12
dc.descriptionSubmitted in partial fulfillment of the requirements for the Degree of Bachelor of Business Science in Finance at Strathmore Universityen_US
dc.description.abstractWeather derivatives are a new risk manage tool which can be widely used in the financial market to avoid the impact of bad weather effects and control the weather risks (Wang et al, 2015). weather derivatives are different from traditional financial derivatives as their underlying asset such as temperature, humidity and precipitation, which cannot be traded in the market, so ordinary pricing models such as black scholes formula is not applicable in pricing weather derivatives. the underlying commodity results into one considering the incomplete markets theory when modelling the temperature data.
dc.identifier.urihttp://hdl.handle.net/11071/4330
dc.language.isoenen_US
dc.publisherStrathmore Universityen_US
dc.subjectModellingen_US
dc.subjectTemperatureen_US
dc.subjectDerivativesen_US
dc.subjectLevy processesen_US
dc.titleModelling temperature derivatives using Levy processesen_US
dc.typeOtheren_US
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