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The Resource A ForwardBackward SDEs Approach to Pricing in Carbon Markets, by JeanFrançois Chassagneux, Hinesh Chotai, Mirabelle Muûls, (electronic resource)
A ForwardBackward SDEs Approach to Pricing in Carbon Markets, by JeanFrançois Chassagneux, Hinesh Chotai, Mirabelle Muûls, (electronic resource)
Resource Information
The item A ForwardBackward SDEs Approach to Pricing in Carbon Markets, by JeanFrançois Chassagneux, Hinesh Chotai, Mirabelle Muûls, (electronic resource) represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in Boston University Libraries.This item is available to borrow from all library branches.
Resource Information
The item A ForwardBackward SDEs Approach to Pricing in Carbon Markets, by JeanFrançois Chassagneux, Hinesh Chotai, Mirabelle Muûls, (electronic resource) represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in Boston University Libraries.
This item is available to borrow from all library branches.
 Summary
 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 capandtrade 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 forwardbackward stochastic differential equations (FBSDEs) with irregular coefficients. The authors present a numerical algorithm to compute the solution to these nonstandard 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 policymakers
 Language
 eng
 Extent
 VI, 104 p. 35 illus., 29 illus. in color.
 Contents

 1 A description of the carbon markets and their role in climate change mitigation. 2 Introduction to ForwardBackward Stochastic Differential Equations
 3 A mathematical model for carbon emissions markets
 4 Numerical approximation of FBSDEs. 5 A case study of the UK energy market
 References.
 Isbn
 9783319631158
 Label
 A ForwardBackward SDEs Approach to Pricing in Carbon Markets
 Title
 A ForwardBackward SDEs Approach to Pricing in Carbon Markets
 Statement of responsibility
 by JeanFrançois Chassagneux, Hinesh Chotai, Mirabelle Muûls
 Subject

 Mathematical Modeling and Industrial Mathematics
 Economics, Mathematical
 Probability Theory and Stochastic Processes
 Economics, Mathematical
 Probabilities
 Energy policy
 Mathematical models
 Statistics for Business/Economics/Mathematical Finance/Insurance
 Statistics
 Probabilities
 Energy Economics
 Statistics
 Mathematical models
 Electronic resources
 Quantitative Finance
 Energy policy
 Mathematics
 Energy industries
 Mathematics
 Energy Policy, Economics and Management
 Energy industries
 Language
 eng
 Summary
 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 capandtrade 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 forwardbackward stochastic differential equations (FBSDEs) with irregular coefficients. The authors present a numerical algorithm to compute the solution to these nonstandard 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 policymakers
 http://library.link/vocab/creatorName
 Chassagneux, JeanFrançois
 Image bit depth
 0
 LC call number

 QA273.A1274.9
 QA274274.9
 Literary form
 non fiction
 http://library.link/vocab/relatedWorkOrContributorName

 Chotai, Hinesh.
 Muûls, Mirabelle.
 SpringerLink
 Series statement
 Mathematics of Planet Earth
 http://library.link/vocab/subjectName

 Mathematics
 Energy policy
 Energy policy
 Economics, Mathematical
 Mathematical models
 Probabilities
 Statistics
 Energy industries
 Mathematics
 Probability Theory and Stochastic Processes
 Mathematical Modeling and Industrial Mathematics
 Energy Economics
 Quantitative Finance
 Energy Policy, Economics and Management
 Statistics for Business/Economics/Mathematical Finance/Insurance
 Label
 A ForwardBackward SDEs Approach to Pricing in Carbon Markets, by JeanFrançois Chassagneux, Hinesh Chotai, Mirabelle Muûls, (electronic resource)
 Antecedent source
 mixed
 Carrier category
 online resource
 Carrier category code
 cr
 Carrier MARC source
 rdacarrier
 Color
 not applicable
 Content category
 text
 Content type code
 txt
 Content type MARC source
 rdacontent
 Contents
 1 A description of the carbon markets and their role in climate change mitigation. 2 Introduction to ForwardBackward Stochastic Differential Equations  3 A mathematical model for carbon emissions markets  4 Numerical approximation of FBSDEs. 5 A case study of the UK energy market  References.
 Dimensions
 unknown
 Extent
 VI, 104 p. 35 illus., 29 illus. in color.
 File format
 multiple file formats
 Form of item
 electronic
 Isbn
 9783319631158
 Level of compression
 uncompressed
 Media category
 computer
 Media MARC source
 rdamedia
 Media type code
 c
 Other control number
 10.1007/9783319631158
 Other physical details
 online resource.
 Quality assurance targets
 absent
 Reformatting quality
 access
 Specific material designation
 remote
 System control number
 (DEHe213)9783319631158
 Label
 A ForwardBackward SDEs Approach to Pricing in Carbon Markets, by JeanFrançois Chassagneux, Hinesh Chotai, Mirabelle Muûls, (electronic resource)
 Antecedent source
 mixed
 Carrier category
 online resource
 Carrier category code
 cr
 Carrier MARC source
 rdacarrier
 Color
 not applicable
 Content category
 text
 Content type code
 txt
 Content type MARC source
 rdacontent
 Contents
 1 A description of the carbon markets and their role in climate change mitigation. 2 Introduction to ForwardBackward Stochastic Differential Equations  3 A mathematical model for carbon emissions markets  4 Numerical approximation of FBSDEs. 5 A case study of the UK energy market  References.
 Dimensions
 unknown
 Extent
 VI, 104 p. 35 illus., 29 illus. in color.
 File format
 multiple file formats
 Form of item
 electronic
 Isbn
 9783319631158
 Level of compression
 uncompressed
 Media category
 computer
 Media MARC source
 rdamedia
 Media type code
 c
 Other control number
 10.1007/9783319631158
 Other physical details
 online resource.
 Quality assurance targets
 absent
 Reformatting quality
 access
 Specific material designation
 remote
 System control number
 (DEHe213)9783319631158
Subject
 Economics, Mathematical
 Economics, Mathematical
 Electronic resources
 Energy Economics
 Energy Policy, Economics and Management
 Energy industries
 Energy industries
 Energy policy
 Energy policy
 Mathematical Modeling and Industrial Mathematics
 Mathematical models
 Mathematical models
 Mathematics
 Mathematics
 Probabilities
 Probabilities
 Probability Theory and Stochastic Processes
 Quantitative Finance
 Statistics
 Statistics
 Statistics for Business/Economics/Mathematical Finance/Insurance
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<div class="citation" vocab="http://schema.org/"><i class="fa faexternallinksquare fafw"></i> Data from <span resource="http://link.bu.edu/portal/AForwardBackwardSDEsApproachtoPricingin/e7JIRGDlCoE/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.bu.edu/portal/AForwardBackwardSDEsApproachtoPricingin/e7JIRGDlCoE/">A ForwardBackward SDEs Approach to Pricing in Carbon Markets, by JeanFrançois Chassagneux, Hinesh Chotai, Mirabelle Muûls, (electronic resource)</a></span>  <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.bu.edu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.bu.edu/">Boston University Libraries</a></span></span></span></span></div>