A Forward-Backward SDEs Approach to Pricing in Carbon Markets / Mathematics of Planet Earth (PDF)
- Kreditkarte, Paypal, Rechnung
- Kostenloser tolino webreader
This Brief reviews mathematical properties such as the existence and uniqueness of solutions for the pricing problem, stability of solutions and their behavior. These fit into the theory of fully coupled forward-backward stochastic differential equations (FBSDEs) with irregular coefficients. The authors present a numerical algorithm to compute thesolution to these non-standard FBSDEs. They also carry out a case study of the UK energy market. This involves estimating the parameters to be used in the model using historical data and then solving a pricing problem using the aforementioned numerical algorithm.
The Brief is of interest to researchers in stochastic processes and their applications, and environmental and energy economics. Most sections are also accessible to practitioners in the energy sector and climate change policy-makers.
- Autoren: Jean-François Chassagneux , Hinesh Chotai , Mirabelle Muûls
- 2017, 1st ed. 2017, 104 Seiten, Englisch
- Verlag: Springer-Verlag GmbH
- ISBN-10: 3319631152
- ISBN-13: 9783319631158
- Erscheinungsdatum: 05.10.2017
Abhängig von Bildschirmgrösse und eingestellter Schriftgrösse kann die Seitenzahl auf Ihrem Lesegerät variieren.
- Dateiformat: PDF
- Grösse: 3.18 MB
- Ohne Kopierschutz
- Vorlesefunktion
Zustand | Preis | Porto | Zahlung | Verkäufer | Rating |
---|
Schreiben Sie einen Kommentar zu "A Forward-Backward SDEs Approach to Pricing in Carbon Markets / Mathematics of Planet Earth".
Kommentar verfassen