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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


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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