A Forward-Backward SDEs Approach to Pricing in Carbon Markets
In Mathematical Finance, the authors consider a mathematical model for the pricing of emissions permits. The model has particular applicability to the European Union Emissions Trading System (EU ETS) but could also be used to consider the modeling of othe
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Jean-François Chassagneux Hinesh Chotai Mirabelle Muûls
A Forward-Backward SDEs Approach to Pricing in Carbon Markets
SpringerBriefs in Mathematics of Planet Earth • Weather, Climate, Oceans Managing Series Editors D. Crisan, London, UK D. Holm, London, UK Series Editors C. Cotter, London, UK J. Broecker, Reading, UK T. Shepherd, Reading, UK S. Reich, Potsdam, Germany V. Lucarini, Hamburg, Germany
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Jean-François Chassagneux Hinesh Chotai Mirabelle Muûls •
A Forward-Backward SDEs Approach to Pricing in Carbon Markets
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Jean-François Chassagneux U.F.R. de Mathématiques Université Paris Diderot, LPMA Paris France
Mirabelle Muûls Grantham Institute Imperial College London UK
Hinesh Chotai Department of Mathematics Imperial College London UK
SpringerBriefs in Mathematics of Planet Earth - Weather, Climate, Oceans ISSN 2509-7326 ISSN 2509-7334 (electronic) ISBN 978-3-319-63114-1 ISBN 978-3-319-63115-8 (eBook) DOI 10.1007/978-3-319-63115-8 Library of Congress Control Number: 2017948227 Mathematics Subject Classification (2010): 60H30, 91G80 © The Author(s) 2017 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodolo
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