A Forward-Backward SDEs Approach to Pricing in Carbon Markets. 1st ed. 2017

種類:

電子ブック

責任表示:

by Jean-François Chassagneux, Hinesh Chotai, Mirabelle Muûls

出版情報:

Cham : Springer International Publishing : Imprint: Springer, 2017

著者名:

• Chassagneux, Jean-François.
• Chotai, Hinesh.
• Muûls, Mirabelle.
• SpringerLink (Online service)

シリーズ名:

SpringerBriefs in Mathematics of Planet Earth, Weather, Climate, Oceans ;

ISBN:

9783319631158 [3319631152]    

注記:

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. .
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 FB

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