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Derivative Pricing and Hedging on Carbon Market
Frunza, Marius-Cristian; Guegan, Dominique - HAL - 2010
The aim of this work is to bring an econometric approach upon the CO2 market. We identify the specificities of this market, and analyze the carbon as a commodity. We investigate the econometric particularities of CO2 prices behavior and their result of the calibration. We apprehend and explain...
Persistent link: https://www.econbiz.de/10010549078
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An economic view of carbon allowances market.
Frunza, Marius-Cristian; Guegan, Dominique - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2009
structured product specific to the carbon market, the swap between two carbon instruments : The European Union Allowances and the …
Persistent link: https://www.econbiz.de/10004999114
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An economic view of carbon allowances market
Frunza, Marius-Cristian; Guegan, Dominique - HAL - 2009
structured product specific to the carbon market, the swap between two carbon instruments : The European Union Allowances and the …
Persistent link: https://www.econbiz.de/10010738507
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Risk Assessment for a Structured Product Specific to the CO2 Emission Permits Market
Frunza, Marius-Cristian; Guegan, Dominique - HAL - 2010
several modelling methods for CO2 emission prices. We use these results for risk modeling of the swap between two CO2 related …
Persistent link: https://www.econbiz.de/10010603688
Cover Image
Derivative pricing and hedging on Carbon Market.
Frunza, Marius-Cristian; Guegan, Dominique - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2010
The aim of this work is to bring an econometric approach upon the CO2 market. We identify the specificities of this market, and analyze the carbon as a commodity. We investigate the econometric particularities of CO2 prices behavior and their result of the calibration. We apprehend and explain...
Persistent link: https://www.econbiz.de/10008622050
Cover Image
Risk assessment for a Structured Product Specific to the CO2 Emission Permits Market.
Frunza, Marius-Cristian; Guegan, Dominique - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2010
several modelling methods for CO2 emission prices. We use these results for risk modeling of the swap between two CO2 related …
Persistent link: https://www.econbiz.de/10008461107