This thesis studies the stochastic behavior of emission permit prices and its implications for related derivatives from a theoretical and an empirical perspective. It presents an equilibrium model for cap-and-trade systems, evaluates the empirical performance of reduced-form models for emission...

This paper presents a stochastic equilibrium model for environmental markets that allows us to study the characteristic properties of emission permit prices induced by the design of today's cap-and-trade systems. We characterize emission permits as highly nonlinear contingent claims on...

In equity option markets, traders face margin requirements both for the options themselves and for hedging-related positions in the underlying stock market. We show that these requirements carry a significant margin premium in the cross-section of equity option returns. The sign of the margin...

What is the role of macroeconomic fluctuations and of oil supply shocks for oil prices, volatilities, and risk premia? I analyze this question within a general equilibrium asset pricing framework with an oil sector. The benchmark calibration shows that short-run macroeconomic growth shocks and...

The design of environmental trading systems induces specific features of the emission permit price dynamics. In this paper, we evaluate the performance of reduced-form models for emission markets that capture these features in a simplified way and are still feasible for calibration to permit...

This paper investigates the impact of the yearly announcement of realized emissions on the European carbon permit market. We find that this event generally leads to significant absolute abnormal returns on the event day, which are accompanied by increased trading volumes and high intraday...