Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

DeepDyve requires Javascript to function. Please enable Javascript on your browser to continue.

A Forward-Backward SDEs Approach to Pricing in Carbon Markets

Part of the Mathematics of Planet Earth Book Series

DOI: 10.1007/978-3-319-63115-8

ISBN: 978-3-319-63114-1

Publisher: Springer International Publishing - Springer Journals

Sep 13, 2017

LitStream

Chapter 1A Description of the Carbon Markets and Their Role in Climate Change Mitigation

Chassagneux, Jean-François; Chotai, Hinesh; Muûls, Mirabelle

Pages: 1 –9

[The chapter describes the latest evolutions of international agreements on climate change. The “externality” that emissions of greenhouse gases produce, i.e. the fact that their effect on future generations is not included in the price of economic activities that generate them, can be dealt with...
LitStream

Chapter 2Introduction to Forward-Backward Stochastic Differential Equations

Chassagneux, Jean-François; Chotai, Hinesh; Muûls, Mirabelle

Pages: 11 –42

[This Chapter is a self-contained introduction to Forward-Backward Stochastic Differential Equations (FBSDEs). It reviews first the well-posedness of BSDEs in the Lipschitz setting and their link with a class of non-linear Partial Differential Equation (PDE) in the Markovian case. It presents...
LitStream

Chapter 3A Mathematical Model for Carbon Emissions Markets

Chassagneux, Jean-François; Chotai, Hinesh; Muûls, Mirabelle

Pages: 43 –57

[We consider a model in which electricity producers operate in a market that is connected to a carbon emissions market. The link between the allowance market and the electricity market is established through the market bid stack, and other related notions. Then, we derive a forward backward...
LitStream

Chapter 4Numerical Approximation of FBSDEs

Chassagneux, Jean-François; Chotai, Hinesh; Muûls, Mirabelle

Pages: 59 –74

[This chapter gives an overview of some numerical schemes that can be applied to forward-backward stochastic differential equations (FBSDEs). First, a backward version of the Euler-Maruyama discretisation, that is applicable to decoupled FBSDE, is presented. Then, we present a Markovian iteration...
LitStream

Chapter 5A Case Study of the UK Energy Market

Chassagneux, Jean-François; Chotai, Hinesh; Muûls, Mirabelle

Pages: 75 –101

[In this chapter, we carry out a numerical investigation of the model introduced in Chap. 3. The processes and functions appearing in the pricing FBSDE will be chosen so that they model the features of the UK energy market. Their parameters will be estimated using real data. Following this, the...

results per page

Prev
1
Next

Browse All eBooks