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Forward backward stochastic differential equations and pricing in emission markets
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Autores
Orientador(es)
Resumo(s)
This thesis is concerned with the pricing of emission allowance certificates in carbon markets. We study a stochastic model based on an FBSDE system. The forward
processes are the Demand for electricity, the fuel prices and the total greenhouse gases
emissions. The backward process is the price of the certificate. We present the construction of the model that mimics the market mechanics and give the theoretical
results for existence and uniqueness of solution. We then provide a numerical algorithm for the system and test it with different functions and scenarios. We end with
the inclusion of a potential policy that interferes with the market, in particular, with
the Demand process.
Descrição
Mestrado Bolonha em Mathematical Finance
Palavras-chave
Forward Backward SDE Numerical Methods Monte-Carlo Method Environmental Finance Emission Markets
Contexto Educativo
Citação
Bento, André Monteiro (2022). “Forward backward stochastic differential equations and pricing in emission markets”. Dissertação de Mestrado. Universidade de Lisboa. Instituto Superior de Economia e Gestão
Editora
Instituto Superior de Economia e Gestão