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
Détails du livre: |
|
ISBN-13: |
978-613-1-54747-8 |
ISBN-10: |
6131547475 |
EAN: |
9786131547478 |
Langue du Livre: |
English |
By (author) : |
Marius-Cristian Frunza |
Nombre de pages: |
164 |
Publié le: |
14.11.2010 |
Catégorie: |
Economics |