A compound Poisson distribution is a sum of independent and identically distributed random variables over a count variable that follows a Poisson distribution. Generally, its distribution is not tractable. However, it has many practical applications that require the estimation of the quantile...

Cap-and-trade markets provide a policy instrument to encourage the decrease of harmful emissions such as global greenhouse gases over both short and long time periods. The European Union Emission Trading Scheme (EU ETS) is the largest carbon emission market yet implemented. Its design, which...

The European Union Emission Trading Scheme is the largest market mechanism yet implemented to spur emissions reduction. In the scheme emissions certificates are traded within annual periods to compensate for the total emissions of given companies. The rules for how certificates can be passed...

We present a general and flexible numerical procedure for pricing European interest-rate derivatives within multifactor affine term structure models by means of piecewise multilinear interpolations. Our procedure relies to the maximum extent on the true density of the state process and solves...