Understanding water derivatives: analysis of the Californian water market and valuation models for NQH2O futures
Frigerio, Alberto (A.A. 2023/2024) Understanding water derivatives: analysis of the Californian water market and valuation models for NQH2O futures. Tesi di Laurea in Mathematical finance, Luiss Guido Carli, relatore Sara Biagini, pp. 47. [Bachelor's Degree Thesis]
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Abstract/Index
Overview of sustainable finance in the USA. Sustainable derivatives. CME water futures (NQH2O). Climatic risk in California. Overview of the climate challenges faced by California. Drought risk. California’s water network, regulations, and market. Overview of California’s water network. Regional supply and demand. California’s water rights system. The Nasdaq Veles California Water index. Introduction to the Nasdaq Veles California Water Index (NQH2O). Benchmarking. Challenges in the development of the index. Composition of the index. Understanding the components of the in. NQH2O futures. Introduction to NQH2O futures. Contract specifications. Cash settlement mechanism. Valuation models for NQH2O futures. Rationale for the models. Hedging and speculation strategies.
References
Bibliografia: pp. 44-47.
| Thesis Type: | Bachelor's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Bachelor's Degree Programs > Bachelor's Degree Program in Economics and Business, English language (L-33) |
| Chair: | Mathematical finance |
| Thesis Supervisor: | Biagini, Sara |
| Academic Year: | 2023/2024 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 17 Oct 2024 08:08 |
| Last Modified: | 17 Oct 2024 08:08 |
| URI: | https://tesi.luiss.it/id/eprint/40066 |
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