This book explains key financial concepts, mathematical tools and theories of mathematical finance. It is organized in four parts. The first brings together a number of results from discrete-time models. The second develops stochastic continuous-time models for the valuation of financial assets...

We analyze the impact of trade integration on plant TFP using Chilean plant-level data (1982–1999) and 3-digit bilateral trade flows. Our contribution is to disentangle the impact of export and import barriers, estimated as border effects within a multilateral context. A fall in export...

In the last forty years, the theory of financial markets has become a growing field of interest for academics as well as for practitioners. We present here an overview of the main topics.

We examine the impact, on commodity derivative markets, of two financial crises: the Subprime crisis and the bankruptcy of Lehman Brothers. These crises are "external" for commodity markets: they appeared in the financial sphere. Still, because now commodity markets are highly integrated,...

Using daily data from March 2001 to June 2005, we estimate a VAR-BEKK model and find evidence of return and volatility spillovers between the German, the Dutch and the British forward electricity markets. We apply Hafner and Herwartz [2006, Journal of International Money and Finance 25,...

This article investigates the cointegrating and vector autoregressive relationships in CO2 allowances spot and futures prices, valid for compliance under the EU Emissions Trading Scheme (EU ETS). Our empirical analysis yields to reject a cointegrating relationship between CO2 spot and futures...

EUAs are European Union Allowances traded on the EU Emissions Trading Scheme (EU ETS), while Certified Emissions Reductions (CERs) arise from the Clean Development Mechanism under the Kyoto Protocol. These emissions assets attract an increasing attention among brokers, investors and operators on...

This article develops a forecasting exercise of the volatility of EUA spot, EUA futures, and CER futures carbon prices (modeled after an AR(1)-GARCH(1,1)) using two dynamic factors as exogenous regressors that were extracted from a Factor Augmented VAR model (Bernanke et al. (2005)). The dataset...

Economic fluctuations, climate risk and a number of individual specific shocks leave households vulnerable to severe hardship in developing countries. Moreover, the credit and insurance markets are limited and the social coverage is weak. In this context, households saving is crucial to provide...