A Forward-Backward SDEs Approach to Pricing in Carbon Markets PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download A Forward-Backward SDEs Approach to Pricing in Carbon Markets PDF full book. Access full book title A Forward-Backward SDEs Approach to Pricing in Carbon Markets by Jean-François Chassagneux. Download full books in PDF and EPUB format.
Author: Jean-François Chassagneux
Publisher: Springer
ISBN: 3319631152
Category : Mathematics
Languages : en
Pages : 108
Get Book Here
Book Description
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 FBSDEs. They also carry out a case study of the UK energy market. This involves estimating the parameters to be used in the model using historical data and then solving a pricing problem using the aforementioned numerical algorithm. The Brief is of interest to researchers in stochastic processes and their applications, and environmental and energy economics. Most sections are also accessible to practitioners in the energy sector and climate change policy-makers.
Author: Jean-François Chassagneux
Publisher: Springer
ISBN: 3319631152
Category : Mathematics
Languages : en
Pages : 108
Get Book Here
Book Description
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 FBSDEs. They also carry out a case study of the UK energy market. This involves estimating the parameters to be used in the model using historical data and then solving a pricing problem using the aforementioned numerical algorithm. The Brief is of interest to researchers in stochastic processes and their applications, and environmental and energy economics. Most sections are also accessible to practitioners in the energy sector and climate change policy-makers.
Author: Maciej Paszynski
Publisher: Springer Nature
ISBN: 3030779807
Category : Computers
Languages : en
Pages : 722
Get Book Here
Book Description
The six-volume set LNCS 12742, 12743, 12744, 12745, 12746, and 12747 constitutes the proceedings of the 21st International Conference on Computational Science, ICCS 2021, held in Krakow, Poland, in June 2021.* The total of 260 full papers and 57 short papers presented in this book set were carefully reviewed and selected from 635 submissions. 48 full and 14 short papers were accepted to the main track from 156 submissions; 212 full and 43 short papers were accepted to the workshops/ thematic tracks from 479 submissions. The papers were organized in topical sections named: Part I: ICCS Main Track Part II: Advances in High-Performance Computational Earth Sciences: Applications and Frameworks; Applications of Computational Methods in Artificial Intelligence and Machine Learning; Artificial Intelligence and High-Performance Computing for Advanced Simulations; Biomedical and Bioinformatics Challenges for Computer Science Part III: Classifier Learning from Difficult Data; Computational Analysis of Complex Social Systems; Computational Collective Intelligence; Computational Health Part IV: Computational Methods for Emerging Problems in (dis-)Information Analysis; Computational Methods in Smart Agriculture; Computational Optimization, Modelling and Simulation; Computational Science in IoT and Smart Systems Part V: Computer Graphics, Image Processing and Artificial Intelligence; Data-Driven Computational Sciences; Machine Learning and Data Assimilation for Dynamical Systems; MeshFree Methods and Radial Basis Functions in Computational Sciences; Multiscale Modelling and Simulation Part VI: Quantum Computing Workshop; Simulations of Flow and Transport: Modeling, Algorithms and Computation; Smart Systems: Bringing Together Computer Vision, Sensor Networks and Machine Learning; Software Engineering for Computational Science; Solving Problems with Uncertainty; Teaching Computational Science; Uncertainty Quantification for Computational Models *The conference was held virtually.
Author: Hans Kaper
Publisher: SIAM
ISBN: 1611973716
Category : Science
Languages : en
Pages : 198
Get Book Here
Book Description
Our planet faces many challenges. In 2013, an international partnership of more than 140 scientific societies, research institutes, and organizations focused its attention on these challenges. This project was called Mathematics of Planet Earth and featured English- and French-language blogs, accessible to nonmathematicians, as part of its outreach activities. This book is based on more than 100 of the 270 English-language blog posts and focuses on four major themes: A Planet to Discover; A Planet Supporting Life; A Planet Organized by Humans; A Planet at Risk.--[Source inconnue].
Author: M. A. H. Dempster
Publisher: CRC Press
ISBN: 1498712339
Category : Business & Economics
Languages : en
Pages : 725
Get Book Here
Book Description
Since a major source of income for many countries comes from exporting commodities, price discovery and information transmission between commodity futures markets are key issues for continued economic development.This book covers the fundamental theory of and derivatives pricing for major commodity markets as well as the interaction between commodi
Author: Peter Cramton
Publisher: MIT Press
ISBN: 0262340399
Category : Business & Economics
Languages : en
Pages : 270
Get Book Here
Book Description
Why the traditional “pledge and review” climate agreements have failed, and how carbon pricing, based on trust and reciprocity, could succeed. After twenty-five years of failure, climate negotiations continue to use a “pledge and review” approach: countries pledge (almost anything), subject to (unenforced) review. This approach ignores everything we know about human cooperation. In this book, leading economists describe an alternate model for climate agreements, drawing on the work of the late Nobel laureate Elinor Ostrom and others. They show that a “common commitment” scheme is more effective than an “individual commitment” scheme; the latter depends on altruism while the former involves reciprocity (“we will if you will”). The contributors propose that global carbon pricing is the best candidate for a reciprocal common commitment in climate negotiations. Each country would commit to placing charges on carbon emissions sufficient to match an agreed global price formula. The contributors show that carbon pricing would facilitate negotiations and enforcement, improve efficiency and flexibility, and make other climate policies more effective. Additionally, they analyze the failings of the 2015 Paris climate conference. Contributors Richard N. Cooper, Peter Cramton, Ottmar Edenhofer, Christian Gollier, Éloi Laurent, David JC MacKay, William Nordhaus, Axel Ockenfels, Joseph E. Stiglitz, Steven Stoft, Jean Tirole, Martin L. Weitzman
Author: Craig Pirrong
Publisher: Cambridge University Press
ISBN: 1139501976
Category : Business & Economics
Languages : en
Pages : 239
Get Book Here
Book Description
Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.
Author: Magnus Feldmann
Publisher: Oxford University Press
ISBN: 019264680X
Category : Business & Economics
Languages : en
Pages : 385
Get Book Here
Book Description
Business and Populism analyses the relationship between right wing populism and business with a focus on business responses and strategies in the face of the global populist turn. In the neoliberal era business had become accustomed to favourable economic policy regimes and governance arrangements that facilitated business influence on key policy issues. The rise of populist movements in various parts of the world is widely perceived as a significant challenge to policymaking, mainstream political parties and even to liberal democracy. Yet we know very little about the impact of populism on business, beyond the fact that the anti-elite challenge of populism frequently targets business with policies to restrict globalization, outsourcing, and labour migration whilst at the same time embracing capitalism, low taxes, and deregulated markets. Populists also glory in presenting themselves as authentic representatives of the people, symbolizing this in their demotic language, their rejection of standards of 'polite' society and liberal 'woke' values, including attacking core intermediary institutions such as independent central banks, the judiciary, the civil service, universities and expert knowledge, and a free press central to post-1945 versions of liberal democracy. When faced with these disruptions and the risks they pose for business, how does business respond? Does it choose to support or challenge populists in different countries? This volume advances the debate by providing empirical studies of the impact of right-wing populism on business. Finally, it considers whether populism will continue to be influential and how its success might impact on business strategy and structure.
Author: Arild Angelsen
Publisher: CIFOR
ISBN: 9791412766
Category : Climatic changes
Languages : en
Pages : 172
Get Book Here
Book Description
Author: Great Britain: Parliament: House of Commons: Energy and Climate Change Committee
Publisher: The Stationery Office
ISBN: 9780215559524
Category : Business & Economics
Languages : en
Pages : 318
Get Book Here
Book Description
Over one hundred billion pounds of investment is needed by 2020 to replace the UK's aging power stations, cut carbon emissions and maintain energy security. Government proposals for Electricity Market Reform (EMR) are supposed to encourage power companies to deliver clean affordable energy. But the Energy and Climate Change Committee is concerned that the current proposals are over-complex and could fail to attract the £110 billion investment needed in electricity generation alone by 2020. It is calling on the Government to simplify its package of reforms to provide a more certain framework for investors. The starting point for EMR should be a clearly defined objective to reduce the carbon intensity of electricity generation in the UK to 50g of CO2 per kilowatt hour (KWh) by 2030. The wholesale market should be fundamentally reformed to break up the dominance of the Big Six energy companies, in order to allow new entrants to invest in the UK and improve the liquidity of the market. The long term contracts designed to encourage low carbon energy sources - known as Feed-in-Tariffs with Contracts for Difference - will work for nuclear, but different types of contract are needed for renewables and other clean technologies. The Carbon Price Support is a necessary short term solution to weaknesses in the EU Emission Trading System, but will increase costs for consumers and could provide a windfall for nuclear and renewables generators. The MPs also call on the Government to be clear about the effect that reforms will have on energy bills.
Author: A. Denny Ellerman
Publisher:
ISBN: 9781139042017
Category : Carbon offsetting
Languages : en
Pages : 392
Get Book Here
Book Description
The first detailed description and analysis of the European Union Emissions Trading Scheme.
