Modelling electricity and emission markets

Detalhes bibliográficos
Autor(a) principal: D’Água, João Francisco Mesquita
Data de Publicação: 2023
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/30042
Resumo: Mestrado Bolonha em Mathematical Finance
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spelling Modelling electricity and emission marketsForward Backward Stochastic Differential EquationNumerical MethodsEmission MarketsBid-StackAllowance CertificatesMestrado Bolonha em Mathematical FinanceThe global energy landscape is undergoing a transformative shift driven by ambitious environmental policies aimed at mitigating climate change and promoting renewable energy sources. The Kyoto Protocol and the European Union Emissions Trading Scheme (EU ETS) have played central roles in reshaping energy markets and emission certificate pricing. This thesis delves into the mathematical modeling of energy markets and CO2 emission certificates, using forward-backward stochastic differential equations (FBSDEs) to unravel intricate pricing mechanisms. The research has two key objectives. Firstly, it aims to derive fundamental partial differential equations (PDEs) for pricing emission certificates within standard and joint models. These PDEs serve as the foundation for subsequent analysis. Secondly, the thesis seeks to develop efficient numerical methods, including finite difference schemes and alternating direction finite schemes, to solve these PDEs, enabling the interpretation of real-world pricing dynamics. The findings reveal the interplay between emission certificate prices, electricity demand, and cumulative emissions, highlighting their influence on allowance prices. The analysis underscores the discrete nature of allowance prices at the end of the compliance period. Moreover, the study emphasizes the significance of incorporating fossil fuel prices into the modeling framework, which drives variations in initial allowance certificate prices. In summary, this research contributes to understanding emission market pricing mechanisms in the evolving energy landscape.Instituto Superior de Economia e GestãoGuerra, JoãoRepositório da Universidade de LisboaD’Água, João Francisco Mesquita2024-02-05T11:27:03Z2023-102023-10-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.5/30042engD’Água, João Francisco Mesquita (2023). “Modelling electricity and emission markets”. Dissertação de Mestrado. Universidade de Lisboa. Instituto Superior de Economia e Gestãoinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-02-11T01:31:26Zoai:www.repository.utl.pt:10400.5/30042Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T02:37:36.691048Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Modelling electricity and emission markets
title Modelling electricity and emission markets
spellingShingle Modelling electricity and emission markets
D’Água, João Francisco Mesquita
Forward Backward Stochastic Differential Equation
Numerical Methods
Emission Markets
Bid-Stack
Allowance Certificates
title_short Modelling electricity and emission markets
title_full Modelling electricity and emission markets
title_fullStr Modelling electricity and emission markets
title_full_unstemmed Modelling electricity and emission markets
title_sort Modelling electricity and emission markets
author D’Água, João Francisco Mesquita
author_facet D’Água, João Francisco Mesquita
author_role author
dc.contributor.none.fl_str_mv Guerra, João
Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv D’Água, João Francisco Mesquita
dc.subject.por.fl_str_mv Forward Backward Stochastic Differential Equation
Numerical Methods
Emission Markets
Bid-Stack
Allowance Certificates
topic Forward Backward Stochastic Differential Equation
Numerical Methods
Emission Markets
Bid-Stack
Allowance Certificates
description Mestrado Bolonha em Mathematical Finance
publishDate 2023
dc.date.none.fl_str_mv 2023-10
2023-10-01T00:00:00Z
2024-02-05T11:27:03Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/30042
url http://hdl.handle.net/10400.5/30042
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv D’Água, João Francisco Mesquita (2023). “Modelling electricity and emission markets”. Dissertação de Mestrado. Universidade de Lisboa. Instituto Superior de Economia e Gestão
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Instituto Superior de Economia e Gestão
publisher.none.fl_str_mv Instituto Superior de Economia e Gestão
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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