Energy, variability and weather finance engineering

被引：3

作者：

Karakatsanis, Georgios ^{[1
]}

Roussis, Dimitrios ^{[1
]}

Moustakis, Yiannis ^{[1
]}

Gournari, Panagiota ^{[1
]}

Parara, Iliana ^{[1
]}

Dimitriadis, Panayiotis ^{[1
]}

Koutsoyiannis, Demetris ^{[1
]}

机构：

[1] Natl Tech Univ Athens, Dept Water Resources & Environm Engn, Heroon Polytech 9, Athens 15870, Greece

来源：

EUROPEAN GEOSCIENCES UNION GENERAL ASSEMBLY 2017, EGU DIVISION ENERGY, RESOURCES & ENVIRONMENT (ERE) | 2017年 / 125卷

关键词：

Weather derivatives; uncertainty; financial engineering; Monte Carlo; remote island; call option; public administration; bank; DERIVATIVES; DEMAND;

D O I：

10.1016/j.egypro.2017.08.073

中图分类号：

X [环境科学、安全科学];

学科分类号：

08 ; 0830 ;

摘要：

Weather derivatives comprise efficient financial tools for managing hydrometeorological uncertainties in various markets. With similar to 46% utilization by the energy industry, weather derivatives are projected to constitute a critical element for dealing with risks of low and medium impacts -contrary to standard insurance contracts that deal with extreme events. In this context, we design and engineer-via Monte Carlo pricing- a weather derivative for a remote island in Greece-powered by an autonomous diesel-fuelled generator-resembling to a standard call option contract to test the benefits for both the island's public administration and a bank-as the transaction's counterparty. (C) 2017 The Authors. Published by Elsevier Ltd.

引用

页码：389 / 397

页数：9

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