A Forward-Backward SDEs Approach to Pricing in Carbon Markets

• Main Authors: Chassagneux, Jean-François (Author), Chotai, Hinesh (Author), Muûls, Mirabelle (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2017.
• Series: Mathematics of Planet Earth
• Subjects: Mathematics.; Energy policy.; Energy and state.; Economics, Mathematical.; Mathematical models.; Probabilities.; Statistics.; Energy industries.; Probability Theory and Stochastic Processes.; Mathematical Modeling and Industrial Mathematics.; Energy Economics.; Quantitative Finance.; Energy Policy, Economics and Management.; Statistics for Business/Economics/Mathematical Finance/Insurance.

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...

Table of Contents:

• 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. .