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

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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)

Cites Work

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

Cited In (23)

• Binomial lattice model: application on carbon credits market
• Market-consistent modeling for cap-and-trade schemes and application to option pricing
• The valuation of carbon bonds linked with carbon price
• The clean development mechanism and joint price formation for allowances and CERs
• Carbon risk hedging: reducing portfolio carbon risk using a beta hedge ratio
• Minimization of carbon abatement cost: modeling, analysis and simulation
• A Forward-Backward SDEs Approach to Pricing in Carbon Markets
• Environmental economics and modeling marketable permits
• The emissions trading paradox
• Carbon markets and technological innovation
• A scenario-based integrated approach for modeling carbon price risk
• Carbon sequestration or abatement? the effect of rising carbon prices on the optimal portfolio of greenhouse-gas mitigation strategies
• On fair pricing of emission-related derivatives
• Risk-neutral pricing of financial instruments in emission markets: A structural approach
• Dynamic behavior of CO\(_2\) spot prices
• Climate uncertainty and carbon emissions prices: the relative roles of transition and physical climate risks
• Emission allowance as a derivative on commodity-spread
• Timing and eco(nomic) efficiency of climate-friendly investments in supply chains
• Estimation of Lévy-driven Ornstein-Uhlenbeck processes: application to modeling of \(\mathrm{CO}_2\) and fuel-switching
• Price bubbles in Beijing carbon market and environmental policy announcement
• Jump-diffusion modeling in emission markets
• Carbon spot prices in equilibrium frameworks associated with climate change
• On the cumulant transforms for Hawkes processes

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