Publicação
Forward backward stochastic differential equations and pricing in emission markets
| dc.contributor.advisor | Guerra, João | |
| dc.contributor.author | Bento, André Monteiro | |
| dc.date.accessioned | 2023-01-03T10:24:04Z | |
| dc.date.available | 2023-01-03T10:24:04Z | |
| dc.date.issued | 2022-10 | |
| dc.description | Mestrado Bolonha em Mathematical Finance | pt_PT |
| dc.description.abstract | 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. | pt_PT |
| dc.description.version | info:eu-repo/semantics/publishedVersion | pt_PT |
| dc.identifier.citation | 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 | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10400.5/26647 | |
| dc.language.iso | eng | pt_PT |
| dc.publisher | Instituto Superior de Economia e Gestão | pt_PT |
| dc.subject | Forward Backward SDE | pt_PT |
| dc.subject | Numerical Methods | pt_PT |
| dc.subject | Monte-Carlo Method | pt_PT |
| dc.subject | Environmental Finance | pt_PT |
| dc.subject | Emission Markets | pt_PT |
| dc.title | Forward backward stochastic differential equations and pricing in emission markets | pt_PT |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | masterThesis | pt_PT |