PRICING AND HEDGING IN CARBON EMISSIONS MARKETS

DOI10.1142/S0219024909005531zbMath1187.91070OpenAlexW1987859607MaRDI QIDQ3655552

Michel Verschuere, Umut Çetin

Publication date: 8 January 2010

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024909005531

zbMATH Keywords

incomplete informationstochastic filteringminimal martingale measureEU ETSCO\(_{2}\) emission allowances

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Generalizations of martingales (60G48) Derivative securities (option pricing, hedging, etc.) (91G20)

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Environmental economics and modeling marketable permits ⋮ On fair pricing of emission-related derivatives ⋮ On the cumulant transforms for Hawkes processes ⋮ Estimation of Lévy-driven Ornstein-Uhlenbeck processes: application to modeling of \(\mathrm{CO}_2\) and fuel-switching ⋮ Carbon spot prices in equilibrium frameworks associated with climate change ⋮ Jump-Diffusion Modeling in Emission Markets ⋮ Timing and eco(nomic) efficiency of climate-friendly investments in supply chains ⋮ Market-Consistent Modeling for Cap-and-Trade Schemes and Application to Option Pricing ⋮ Minimization of carbon abatement cost: modeling, analysis and simulation

Cites Work

• Option hedging for semimartingales
• Föllmer-Schweizer decomposition and mean-variance hedging for general claims
• Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales