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Thesis

Price modelling and asset valuation in carbon emission and electricity markets

Abstract:

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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Institution:
University of Oxford
Research group:
Mathematical and Computational Finance
Department:
Mathematical,Physical & Life Sciences Division - Mathematical Institute

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Role:
Supervisor
Publication date:
2012
Type of award:
DPhil
Level of award:
Doctoral
URN:
uuid:7de118d2-a61b-4125-a615-29ff82ac7316
Local pid:
ora:11792

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