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Carbon allowances: A new financial asset: From market fundamentals to derivatives (Omn.Univ.Europ.)

Marius-Cristian Frunza

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ISBN 10: 6131547475 / ISBN 13: 9786131547478
Published by Editions universitaires europeennes, 2010
Condition: Good Soft cover
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Bibliographic Details

Title: Carbon allowances: A new financial asset: ...

Publisher: Editions universitaires europeennes

Publication Date: 2010

Binding: Paperback

Book Condition: Good

About this title

Synopsis:

The aim of this work is to bring an economic view upon the carbon emission market. We identify the specificities of this market, regarding the intrinsic value of carbon . We investigate the econometric particularities of carbon permits prices behaviour and their result of the calibration. We apprehend and explain the reasons of the non-Gaussian behaviour of this market focusing mainly upon jump diffusion and generalized hyperbolic distributions. We test these results for pricing, risk modelling, fundamental valuation and technical analysis

About the Author:

Marius-Cristian Frunza is currently an associated researcher with CNAM and Paris I Sorbonne University. He has a professional background in financial advisory and emissions trading. His academic activity encompasses topics around environmental finance like forestry, energy, weather derivatives. Marius graduated from Paris based Ecole Polytechnique.

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