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We introduce a model for the evolution of emissions and the price of emissions allowances in a carbon market such as the European Union Emissions Trading System (EU ETS).
First order quasilinear equations in several independent variables
SN Kružkov · 1970
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Brownian motion and stochastic calculus
Ioannis Karatzas and Steven E Shreve · 1991
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Hyperbolic systems of conservation laws
Alberto Bressan · 1999
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On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case
François Delarue · 2002
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Representation theorems for backward stochastic differential equations
Jin Ma and Jianfeng Zhang · 2002
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The clean development mechanism and cer price formation in the carbon emission markets
René Carmona and Max Fehr · 2009
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Optimal stochastic control and carbon price formation
René Carmona, Max Fehr, and Juri Hinz · 2009
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Pricing and hedging in carbon emissions markets
Umut Cetin and Michel Verschuere · 2009
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Modeling CO2 emission allowance prices and derivatives: evidence from the European trading scheme
George Daskalakis, Dimitris Psychoyios, and Raphael N Markellos · 2009
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Carbon trading, 2009
Diederik Dian Schalk Nel · 2009
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Market design for emission trading schemes
René Carmona, Max Fehr, Juri Hinz, and Arnaud Porchet · 2010
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On fair pricing of emission-related derivatives
Juri Hinz and Alex Novikov · 2010
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Jump-diffusion modeling in emission markets
Konstantin Borovkov, Geoffrey Decrouez, and Juri Hinz · 2011
Earlier work this paper cites.
Risk-neutral models for emission allowance prices and option valuation
René Carmona and Juri Hinz · 2011
Cited alongside, same era.
The valuation of clean spread options: Linking electricity, emissions and fuels
René Carmona, Michael Coulon, and Daniel Schwarz · 2012
Cited alongside, same era.
The endogenous price dynamics of emission allowances and an application to CO2 option pricing
Marc Chesney and Luca Taschini · 2012
Cited alongside, same era.
Risk-neutral pricing of financial instruments in emission markets: a structural approach
Sam Howison and Daniel Schwarz · 2012
Cited alongside, same era.
Singular FBSDEs and scalar conservation laws driven by diffusion processes
René Carmona and François Delarue · 2013
Cited alongside, same era.
Singular forward–backward stochastic differential equations and emissions derivatives
A Forward-Backward SDEs Approach to Pricing in Carbon Markets
Jean-François Chassagneux, Hinesh Chotai, and Mirabelle Muûls · 2017
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Report of the high-level commission on carbon prices
Nicholas Stern and Joseph E Stiglitz · 2017
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EU ETS Handbook
European Commission · 2018
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EU Emissions Trading System (EU ETS)
European Commission · 2018
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Market stability reserve
European Commission · 2018
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Phases 1 and 2 (2005-2012)
European Commission · 2018
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The EU Emissions Trading System (EU ETS)
European Commission · 2018
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René Carmona, François Delarue, Gilles-Edouard Espinosa, and Nizar Touzi · 2013
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Empirical performance of reduced-form models for emission permit prices
Steffen Hitzemann and Marliese Uhrig-Homburg · 2013
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Nash equilibria for coupling of co2 allowances and electricity markets
Mireille Bossy, Nadia Maizi, and Odile Pourtallier · 2014
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Game theory analysis for carbon auction market through electricity market coupling
Mireille Bossy, Nadia Maïzi, and Odile Pourtallier · 2015
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Decision (EU) 2015/1814 of the European Parliament and of the Council of 6 October 2015 concerning the establishment and operation of a market stability reserve for the Union greenhouse gas emission trading scheme and amending Directive 2003/87/EC
European Parliament, Council of the European Union · 2015
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Rolling out a successful carbon trading system
Josh Margolis, Daniel Dudek, and Anders Hove · 2015
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The impact of the european union emissions trading scheme on regulated firms: What is the evidence after ten years?
Ralf Martin, Mirabelle Muûls, and Ulrich J Wagner · 2015
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Forward-backward stochastic differential equations and applications to carbon emissions markets, 2019
Hinesh Chotai · 2019
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China 2050:a fully developed rich zero-carbon economy, 2019
Energy Transitions Commission (ETC) · 2019
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United in science: High-level synthesis report of latest climate science information convened by the science advisory group of the un climate action summit 2019, 2019
Energy Transitions Commission (ETC) · 2019
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The eu emissions trading system in 2019: trends and projections
European Environment Agency · 2019
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State and Trends of Carbon Pricing 2019
Celine Ramstein, Goran Dominioni, Sanaz Ettehad, Long Lam, Maurice Quant, Jialiang Zhang, Louis Mark, Sam Nierop, Tom Berg, Paige Leuschner, et al · 2019
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