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Equilibrium price dynamics of emission permits
Hitzemann, Steffen; Uhrig-Homburg, Marliese - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 4, pp. 1653-1678
Persistent link: https://www.econbiz.de/10011930520
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The Minimum-CVaR strategy with semi-parametric estimation in carbon market hedging problems
Chai, Shanglei; Zhou, Peng - In: Energy economics 76 (2018), pp. 64-75
Persistent link: https://www.econbiz.de/10011976584
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Random sources correlations and carbon futures pricing
Feng, Ling; Wang, Jieyu - In: International review of financial analysis 86 (2023), pp. 1-10
Persistent link: https://www.econbiz.de/10014248391
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A Note On Emissions Trading : The Pricing Of Carbon Derivatives
Bloch, Daniel Alexandre - 2013
underlying. To bridge the gap between theory and practice, we are going to devise a market model consistent with the features …
Persistent link: https://www.econbiz.de/10013094173
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New advances in financial economics
Ghosh, Dilip Kumar (ed.); Ghosh, Dilip K. (contributor) - 1995 - 1. ed.
Persistent link: https://www.econbiz.de/10000532100
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Pro-rata matching and one-tick futures markets
Field, Jonathan; Large, Jeremy - 2008
We find and describe four futures markets where the bid-ask spread is bid down to the fixed price tick size practically all the time, and which match counterparties using a pro-rata rule. These four markets' offered depths at the quotes on average exceed mean market order size by two orders of...
Persistent link: https://www.econbiz.de/10003831246
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Derivatives, volatility and price discovery
Cohen, Benjamin H. - In: International finance 2 (1999) 2, pp. 167-202
Persistent link: https://www.econbiz.de/10001548178
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Fundamentals, Derivatives Market Information and Oil Price Volatility
Robe, Michel A.; Wallen, Jonathan - 2021
We analyze empirically what drives market expectations of crude oil price volatility. Between 2000 and 2014, we investigate the links between the term structure of oil option-implied volatilities (IVs) and global macroeconomic conditions, physical market fundamentals (OPEC surplus output...
Persistent link: https://www.econbiz.de/10013245198
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Fundamentals, Derivatives Market Information and Oil Price Volatility
Robe, Michel A.; Wallen, Jonathan - 2021
We analyze empirically what drives market expectations of crude oil price volatility. Between 2000 and 2014, we investigate the links between the term structure of oil option-implied volatilities (IVs) and global macroeconomic conditions, physical market fundamentals (OPEC surplus output...
Persistent link: https://www.econbiz.de/10013245199
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Calibration of parametric CAT bonds : a case study of Mexican earthquakes
Härdle, Wolfgang; López Cabrera, Brenda - In: Schmollers Jahrbuch : journal of contextual economics 128 (2008) 4, pp. 615-630
Persistent link: https://www.econbiz.de/10003786603