Carbon allowances: a new financial asset - from market fundamentals to derivatives

• Date de parution : 14/11/2010
• Editeur : Editions Universitaires Europeennes
• EAN : 9786131547478
• Série : (-)
• Support : Poche

• Nombre de pages : 164
• Collection : (-)
• Genre : Lettres et linguistique
• Thème : Lettres et linguistique Poche
• Prix littéraire(s) : (-)

The aim of this work is to bring an economic view upon the carbon emission market. We identify the specificities of this market, regarding the intrinsic value of carbon . We investigate the econometric particularities of carbon permits prices behaviour and their result of the calibration. We... Voir plus

The aim of this work is to bring an economic view upon the carbon emission market. We identify the specificities of this market, regarding the intrinsic value of carbon . We investigate the econometric particularities of carbon permits prices behaviour and their result of the calibration. We apprehend and explain the reasons of the non-Gaussian behaviour of this market focusing mainly upon jump diffusion and generalized hyperbolic distributions. We test these results for pricing, risk modelling, fundamental valuation and technical analysis