El Adnani, Abderrahim (A.A. 2022/2023) An examination of the role of derivatives in corporate risk management: strategies, instruments, and impacts: Case study: Italian weather derivatives market. Tesi di Laurea in Risk management and compliance, Luiss Guido Carli, relatore Giancarlo Mazzoni, pp. 99. [Master's Degree Thesis]

Full text for this thesis not available from the repository.

Abstract/Index

Theoretical framework. Derivatives in risk management. Types of derivatives. Weather derivatives in corporate risk management. Weather derivatives pricing. Literature review. Risk management approaches and pricing models for derivatives. Weather derivatives pricing limitation. Basis risk and credit risk. Methodology and data sources. Seasonality and temperature modelling. Temperature options pricing and risk inspection. Data cleaning and analysis. Exploratory data analysis (EDA) and pre-processing. Underlying dynamics. Autocorrelation and stationarity. Identifying and removing trends. A note on residuals. Daily average temperature modelling. Daily average temperature simulation under the P-Measure. Underlying dynamics. Monte Carlo simulation. Putting a price on Italian temperature under the Q-measure. Solving the Ornstein-Uhlenbeck SDE. Pricing Italian heating degree day options.

References

Bibliografia: pp. 94-100.

Thesis Type:	Master's Degree Thesis
Institution:	Luiss Guido Carli
Degree Program:	Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56)
Chair:	Risk management and compliance
Thesis Supervisor:	Mazzoni, Giancarlo
Thesis Co-Supervisor:	Cybo-Ottone, Alberto
Academic Year:	2022/2023
Session:	Extraordinary
Deposited by:	Alessandro Perfetti
Date Deposited:	16 Jul 2024 12:41
Last Modified:	16 Jul 2024 12:41
URI:	https://tesi.luiss.it/id/eprint/39361

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