Modelling electricity and emission markets
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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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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 |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799137426819514368 |