Related papers: Pricing Carbon Allowance Options on Futures: Insig…
Carbon futures has recently emerged as a novel financial asset in the trading markets such as the European Union and China. Monitoring the trend of the carbon price has become critical for both national policy-making as well as industrial…
Recent empirical evidence has highlighted the crucial role of jumps in both price and volatility within the cryptocurrency market. In this paper, we integrate price--volatility co-jumps and volatility short-term dependency into a coherent…
In electricity markets, futures contracts typically function as a swap since they deliver the underlying over a period of time. In this paper, we introduce a market price for the delivery periods of electricity swaps, thereby opening an…
In the complex landscape of traditional futures trading, where vast data and variables like real-time Limit Order Books (LOB) complicate price predictions, we introduce the FutureQuant Transformer model, leveraging attention mechanisms to…
The European Union Emissions Trading System (EU ETS), the world's first and largest cap-and-trade carbon market, is a cornerstone of EU climate policy. This study provides a comprehensive empirical analysis of the EU carbon market's…
The European Union Emissions Trading System (EU ETS) is a key policy tool for reducing greenhouse gas emissions and advancing toward a net-zero economy. Under this scheme, tradeable carbon credits, European Union Allowances (EUAs), are…
We apply the formalism of the continuous time random walk (CTRW) theory to financial tick data of the bond futures transacted in Korean Futures Exchange (KOFEX) market. For our case, the tick dynamical behaviors of the returns and…
Carbon neutralization is an urgent task in society because of the global warming threat. And carbon trading is an essential market mechanics to solve carbon reduction targets. Macro carbon price prediction is vital in the useful management…
Based on forward curves modelled as Hilbert-space valued processes, we analyse the pricing of various options relevant in energy markets. In particular, we connect empirical evidence about energy forward prices known from the literature to…
Cryptocurrencies, especially Bitcoin (BTC), which comprise a new digital asset class, have drawn extraordinary worldwide attention. The characteristics of the cryptocurrency/BTC include a high level of speculation, extreme volatility and…
Putting a price on carbon -- with taxes or developing carbon markets -- is a widely used policy measure to achieve the target of net-zero emissions by 2050. This paper tackles the issue of producing point, direction-of-change, and density…
We present a new model for commodity pricing that enhances accuracy by integrating four distinct risk factors: spot price, stochastic volatility, convenience yield, and stochastic interest rates. While the influence of these four variables…
In this chapter, we consider volatility swap, variance swap and VIX future pricing under different stochastic volatility models and jump diffusion models which are commonly used in financial market. We use convexity correction approximation…
We present a new model for the electricity spot price dynamics, which is able to capture seasonality, low-frequency dynamics and the extreme spikes in the market. Instead of the usual purely deterministic trend we introduce a non-stationary…
This article studies the impact of carbon risk on stock pricing. To address this, we consider the seminal approach of G\"orgen \textsl{et al.} (2019), who proposed estimating the carbon financial risk of equities by their carbon beta. To…
We consider option pricing using a discrete-time Markov switching stochastic volatility with co-jump model, which can model volatility clustering and varying mean-reversion speeds of volatility. For pricing European options, we develop a…
We propose an innovative data-driven option pricing methodology that relies exclusively on the dataset of historical underlying asset prices. While the dataset is rooted in the objective world, option prices are commonly expressed as…
A heat kernel approach is proposed for the development of a general, flexible, and mathematically tractable asset pricing framework in finite time. The pricing kernel, giving rise to the price system in an incomplete market, is modelled by…
Recent literature seek to forecast implied volatility derived from equity, index, foreign exchange, and interest rate options using latent factor and parametric frameworks. Motivated by increased public attention borne out of the…
We introduce a model for the evolution of emissions and the price of emissions allowances in a carbon market such as the European Union Emissions Trading System (EU ETS). The model accounts for multiple trading periods, or phases, with…