Partial differential equations for pricing in carbon markets

Detalhes bibliográficos
Autor(a) principal: Cavalheiro, Joaquim Miguel Couto dos Santos
Data de Publicação: 2022
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/27129
Resumo: Mestrado Bolonha em Mathematical Finance
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spelling Partial differential equations for pricing in carbon marketsSemilinear PDEForward-Backward Stochastic Differential EquationEmissions MarketAllowance CertificatesCap-and-tradeMestrado Bolonha em Mathematical FinanceIn this thesis we present a numerical pricing method for allowance certificates in the European Union Emissions Trading Scheme (EU ETS). The presented approach lies inbetween an equilibrium model that are already widely used in this field and a simplistic risk-neutral model. Using an exogenously stated demand process for a polluting good, it gives a causal explanation for the accumulation of CO2 emissions and takes into account the feedback effect from the cost of carbon to the rate at which the market emits CO2. We develop a Forward-Backward Stochastic Differential Equation (FBSDE) and numerically present a Crank-Nicolson approximation scheme for the associated semilinear Partial Differential Equation (PDE) for the price of the allowance certificate while also showing that the derivatives specified on the allowance certificate satisfy a linear Partial Differential Equation.Instituto Superior de Economia e GestãoGuerra, JoãoJanela, JoãoRepositório da Universidade de LisboaCavalheiro, Joaquim Miguel Couto dos Santos2023-08-03T00:30:20Z2022-102022-10-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.5/27129engCavalheiro, Joaquim Miguel Couto dos Santos (2022). “Partial differential equations for pricing in carbon 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:RCAAP2023-08-13T01:30:45Zoai:www.repository.utl.pt:10400.5/27129Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:10:40.821437Repositório 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 Partial differential equations for pricing in carbon markets
title Partial differential equations for pricing in carbon markets
spellingShingle Partial differential equations for pricing in carbon markets
Cavalheiro, Joaquim Miguel Couto dos Santos
Semilinear PDE
Forward-Backward Stochastic Differential Equation
Emissions Market
Allowance Certificates
Cap-and-trade
title_short Partial differential equations for pricing in carbon markets
title_full Partial differential equations for pricing in carbon markets
title_fullStr Partial differential equations for pricing in carbon markets
title_full_unstemmed Partial differential equations for pricing in carbon markets
title_sort Partial differential equations for pricing in carbon markets
author Cavalheiro, Joaquim Miguel Couto dos Santos
author_facet Cavalheiro, Joaquim Miguel Couto dos Santos
author_role author
dc.contributor.none.fl_str_mv Guerra, João
Janela, João
Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Cavalheiro, Joaquim Miguel Couto dos Santos
dc.subject.por.fl_str_mv Semilinear PDE
Forward-Backward Stochastic Differential Equation
Emissions Market
Allowance Certificates
Cap-and-trade
topic Semilinear PDE
Forward-Backward Stochastic Differential Equation
Emissions Market
Allowance Certificates
Cap-and-trade
description Mestrado Bolonha em Mathematical Finance
publishDate 2022
dc.date.none.fl_str_mv 2022-10
2022-10-01T00:00:00Z
2023-08-03T00:30:20Z
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/10400.5/27129
url http://hdl.handle.net/10400.5/27129
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Cavalheiro, Joaquim Miguel Couto dos Santos (2022). “Partial differential equations for pricing in carbon 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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