The Resource A Forward-Backward SDEs Approach to Pricing in Carbon Markets, by Jean-François Chassagneux, Hinesh Chotai, Mirabelle Muûls, (electronic resource)

A Forward-Backward SDEs Approach to Pricing in Carbon Markets, by Jean-François Chassagneux, Hinesh Chotai, Mirabelle Muûls, (electronic resource)

Label
A Forward-Backward SDEs Approach to Pricing in Carbon Markets
Title
A Forward-Backward SDEs Approach to Pricing in Carbon Markets
Statement of responsibility
by Jean-François Chassagneux, Hinesh Chotai, Mirabelle Muûls
Creator
Contributor
Author
Provider
Subject
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 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
Member of
http://library.link/vocab/creatorName
Chassagneux, Jean-François
Image bit depth
0
LC call number
  • QA273.A1-274.9
  • QA274-274.9
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 Forward-Backward SDEs Approach to Pricing in Carbon Markets, by Jean-François Chassagneux, Hinesh Chotai, Mirabelle Muûls, (electronic resource)
Instantiates
Publication
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 Forward-Backward 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
10.1007/978-3-319-63115-8
Other physical details
online resource.
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(DE-He213)978-3-319-63115-8
Label
A Forward-Backward SDEs Approach to Pricing in Carbon Markets, by Jean-François Chassagneux, Hinesh Chotai, Mirabelle Muûls, (electronic resource)
Publication
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 Forward-Backward 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
10.1007/978-3-319-63115-8
Other physical details
online resource.
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(DE-He213)978-3-319-63115-8

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