PRICING AND HEDGING IN CARBON EMISSIONS MARKETS

DOI10.1142/S0219024909005531zbMATH Open1187.91070OpenAlexW1987859607MaRDI QIDQ3655552FDOQ3655552

Authors Umut Cetin, M. Verschuere 

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

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

Recommendations

• Carbon Markets
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Cites work

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

Cited in

(28)

• The valuation of carbon bonds linked with carbon price
• A Forward-Backward SDEs Approach to Pricing in Carbon Markets
• On fair pricing of emission-related derivatives
• Market-consistent modeling for cap-and-trade schemes and application to option pricing
• Carbon spot prices in equilibrium frameworks associated with climate change
• Price bubbles in Beijing carbon market and environmental policy announcement
• Dynamic behavior of CO\(_2\) spot prices
• Binomial lattice model: application on carbon credits market
• The clean development mechanism and joint price formation for allowances and CERs
• Test of mean reversion of carbon price based on ANSTšCGARCH algorithm
• Carbon markets and technological innovation
• Climate uncertainty and carbon emissions prices: the relative roles of transition and physical climate risks
• On the modeling of CO\(_2\) EUA and CER prices of EU-ETS for the 2008--2012 period
• Emission allowance as a derivative on commodity-spread
• Minimization of carbon abatement cost: modeling, analysis and simulation
• Jump-diffusion modeling in emission markets
• London vs. Leipzig: price discovery of carbon futures during phase III of the ETS
• Timing and eco(nomic) efficiency of climate-friendly investments in supply chains
• Environmental economics and modeling marketable permits
• A scenario-based integrated approach for modeling carbon price risk
• On the cumulant transforms for Hawkes processes
• The endogenous price dynamics of emission allowances and an application to CO\(_2\) option pricing
• Modelling Multiperiod Carbon Markets Using Singular Forward-Backward SDEs
• Empirical evidence on time-varying hedging effectiveness of emissions allowances under departures from the cost-of-carry theory
• Carbon sequestration or abatement? the effect of rising carbon prices on the optimal portfolio of greenhouse-gas mitigation strategies
• The emissions trading paradox
• Estimation of Lévy-driven Ornstein-Uhlenbeck processes: application to modeling of \(\mathrm{CO}_2\) and fuel-switching
• Carbon risk hedging: reducing portfolio carbon risk using a beta hedge ratio

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