Price modelling and asset valuation in carbon emission and electricity markets

Thesis

This thesis is concerned with the mathematical analysis of electricity and carbon emission markets.

We introduce a novel, versatile and tractable stochastic framework for the joint price formation of electricity spot prices and allowance certificates. In the proposed framework electricity and allowance prices are explained as functions of specific fundamental factors, such as the demand for electricity and the prices of the fuels used for its production. As a result, the proposed mo...

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Authors: Schwarz, D

• Publication date: 2012
• Type of award: DPhil
• Level of award: Doctoral
• Awarding institution: University of Oxford
• Language: English
• Keywords: Forward-Backward Stochastic Differential Equation; Electricity; Commodity Market; Derivative Pricing; Emission Market; Non-linear Partial Differential Equation
• Subjects: Mathematics; Probability theory and stochastic processes; Mathematical finance