Weather & Climate Derivatives: Pricing, Hedging, and Basis Risk in Energy and Agricultural Markets - Softcover

Thatch, Oliver J.

Softcover

ISBN 13: 9798190129083

Publisher: Independently published, 2026

Synopsis

Reactive Publishing

Unprecedented climate variability and extreme weather events present significant financial exposure for energy producers, agricultural operations, and institutional investors. Weather & Climate Derivatives provides a rigorous, hands-on analysis of how non-catastrophic weather risks are quantified, priced, and hedged using financial contracts.

Written for quantitative analysts, risk managers, and commodity traders, this comprehensive volume bridges the gap between meteorological data modeling and practical financial engineering.

What You Will Learn:

• Contract Structures: Detailed coverage of Heating Degree Day (HDD), Cooling Degree Day (CDD), Cumulative Precipitation, and index-based weather options and swaps.

• Quantitative Pricing Models: Practical methodologies for valuing non-standard derivatives using historic meteorological data, burn analysis, daily temperature dynamics, and Monte Carlo simulations.

• Basis Risk Mitigation: Strategies to identify, measure, and minimize geographical, structural, and volume basis risk between derivative hedges and physical exposures.

• Sector-Specific Applications: Real-world case studies demonstrating hedging execution in power generation, natural gas distribution, renewable energy, and crop yield protection.

• Risk Management Integration: Frameworks for integrating climate derivatives into broader corporate enterprise risk management (ERM) and portfolio strategies.

Whether you are designing custom hedging solutions or managing exposure to volumetric risk, this text delivers the mathematical foundations and market conventions required to navigate the growing market for climate-linked financial instruments.

Edition details

• Publisher: Independently published
• Publication date: 2026
• Language: English
• ISBN 13: 9798190129083
• Binding: Paperback
• Number of pages: 482
• Editor: Munrow Danny