Forward backward stochastic differential equations and pricing in emission markets
Autor(a) principal: | |
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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/10400.5/26647 |
Resumo: | Mestrado Bolonha em Mathematical Finance |
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Forward backward stochastic differential equations and pricing in emission marketsForward Backward SDENumerical MethodsMonte-Carlo MethodEnvironmental FinanceEmission MarketsMestrado Bolonha em Mathematical FinanceThis 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.Instituto Superior de Economia e GestãoGuerra, JoãoRepositório da Universidade de LisboaBento, André Monteiro2023-01-03T10:24:04Z2022-102022-10-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.5/26647engBento, André Monteiro (2022). “Forward backward stochastic differential equations and pricing in 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:RCAAP2023-03-06T14:56:05Zoai:www.repository.utl.pt:10400.5/26647Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:10:15.679651Repositório 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 |
Forward backward stochastic differential equations and pricing in emission markets |
title |
Forward backward stochastic differential equations and pricing in emission markets |
spellingShingle |
Forward backward stochastic differential equations and pricing in emission markets Bento, André Monteiro Forward Backward SDE Numerical Methods Monte-Carlo Method Environmental Finance Emission Markets |
title_short |
Forward backward stochastic differential equations and pricing in emission markets |
title_full |
Forward backward stochastic differential equations and pricing in emission markets |
title_fullStr |
Forward backward stochastic differential equations and pricing in emission markets |
title_full_unstemmed |
Forward backward stochastic differential equations and pricing in emission markets |
title_sort |
Forward backward stochastic differential equations and pricing in emission markets |
author |
Bento, André Monteiro |
author_facet |
Bento, André Monteiro |
author_role |
author |
dc.contributor.none.fl_str_mv |
Guerra, João Repositório da Universidade de Lisboa |
dc.contributor.author.fl_str_mv |
Bento, André Monteiro |
dc.subject.por.fl_str_mv |
Forward Backward SDE Numerical Methods Monte-Carlo Method Environmental Finance Emission Markets |
topic |
Forward Backward SDE Numerical Methods Monte-Carlo Method Environmental Finance Emission Markets |
description |
Mestrado Bolonha em Mathematical Finance |
publishDate |
2022 |
dc.date.none.fl_str_mv |
2022-10 2022-10-01T00:00:00Z 2023-01-03T10:24:04Z |
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/10400.5/26647 |
url |
http://hdl.handle.net/10400.5/26647 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
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 |
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 |
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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 |
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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) |
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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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