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A Forward-Backward SDEs Approach to Pricing in Carbon Markets - JEAN-FRANÇOIS CHASSAGNEUX - HIN CHOTAI

A Forward-Backward SDEs Approach to Pricing in Carbon Markets

Titre de l'éditeur : A Forward-Backward SDEs Approach to Pricing in Carbon Markets

JEAN-FRANÇOIS CHASSAGNEUX
HIN CHOTAI

 
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EN SAVOIR PLUS Résumé

In Mathematical Finance, the authors consider a mathematical model for the pricing of emissions permits. The model has particular applicability to the European Union Emissions Trading System (EU ETS) but could also be used to consider the modeling of other cap-and-trade schemes. As a response to the risk of Climate Change, carbon markets are currently being implemented in regions worldwide and already represent more than $30 billion. However, scientific, and particularly mathematical, studies of these carbon markets are needed in order to expose their advantages and shortcomings, as well as allow their most efficient implementation.

This Brief reviews mathematical properties such as the existence and uniqueness of solutions for the pricing problem, stability of solutions and their behavior. These fit into the theory of fully coupled forward-backward stochastic differential equations (FBSDEs) with irregular coefficients. The authors present a numerical algorithm to compute the solution to these non-standard FBSDEs. They also carry out a case study of the UK energy market. This involves estimating the parameters to be used in the model using historical data and then solving a pricing problem using the aforementioned numerical algorithm.

The Brief is of interest to researchers in stochastic processes and their applications, and environmental and energy economics. Most sections are also accessible to practitioners in the energy sector and climate change policy-makers.




Détails
Prix : 84,02 $
Catégorie :
Auteur :  JEAN-FRANÇOIS CHASSAGNEUX
HIN CHOTAI
Titre : A Forward-Backward SDEs Approach to Pricing in Carbon Markets
Date de parution : octobre 2017
Éditeur : LIVRES NUMÉRIQUES DIVERS
Sujet : NUL DIVERS
ISBN : 9783319631158 (3319631152)
Référence Renaud-Bray : 2340592
No de produit : 2340592
Droits numériques
Format : EPUB
Disponibilité : Canada, consultez la liste des pays autorisés.
Gestion des droits numériques : Adobe DRM
Entrepôt numérique : NUMILOG
Nombre d'appareils autorisés : 3
Nombre de copier/coller : 0
Impression : 0

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A Forward-Backward SDEs Approach to Pricing in Carbon Markets , CHASSAGNEUX , JEAN-FRANÇOIS*CHOTAI , HIN
© LIVRES NUMÉRIQUES DIVERS 2017