A ForwardBackward SDEs Approach to Pricing in Carbon Markets
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The work A ForwardBackward SDEs Approach to Pricing in Carbon Markets represents a distinct intellectual or artistic creation found in Boston University Libraries. This resource is a combination of several types including: Work, Language Material, Books.
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A ForwardBackward SDEs Approach to Pricing in Carbon Markets
Resource Information
The work A ForwardBackward SDEs Approach to Pricing in Carbon Markets represents a distinct intellectual or artistic creation found in Boston University Libraries. This resource is a combination of several types including: Work, Language Material, Books.
 Label
 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
 Image bit depth
 0
 LC call number

 QA273.A1274.9
 QA274274.9
 Literary form
 non fiction
 Series statement
 Mathematics of Planet Earth
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