相关论文: Pricing Carbon Allowance Options on Futures: Insig…

This study aims to address the challenges of futures price prediction in high-frequency trading (HFT) by proposing a continuous learning factor predictor based on graph neural networks. The model integrates multi-factor pricing theories…

In recent years, the growing frequency and severity of natural disasters have increased the need for effective tools to manage catastrophe risk. Catastrophe (CAT) bonds allow the transfer of part of this risk to investors, offering an…

As variable renewable energy increases and more demand is electrified, we expect price formation in wholesale electricity markets to transition from being dominated by fossil fuel generators to being dominated by the opportunity costs of…

Accurately forecasting the price of oil, the world's most actively traded commodity, is of great importance to both academics and practitioners. We contribute by proposing a functional time series based method to model and forecast oil…

The paper investigates the effect of the label green in bond markets from the lens of the trading activity. The idea is that jumps in the dynamics of returns have a specific memory nature that can be well represented through a self-exciting…

Cryptocurrency, the most controversial and simultaneously the most interesting asset, has attracted many investors and speculators in recent years. The visibly significant market capitalization of cryptos also motivates modern financial…

This paper presents a model based on multilayer feedforward neural network to forecast crude oil spot price direction in the short-term, up to three days ahead. A great deal of attention was paid on finding the optimal ANN model structure.…

Futures market contracts with varying maturities are traded concurrently and the speed at which they process information is of value in understanding the pricing discovery process. Using price discovery measures, including Putnins (2013)…

Reliability Options are capacity remuneration mechanisms aimed at enhancing security of supply in electricity systems. They can be framed as call options on electricity sold by power producers to System Operators. This paper provides a…

The paper analyzes the cryptocurrency ecosystem at both the aggregate and individual levels to understand the factors that impact future volatility. The study uses high-frequency panel data from 2020 to 2022 to examine the relationship…

Electricity markets are under increasing pressure to maintain reliability amidst rising renewable penetration, demand variability, and occasional price shocks. Traditional capacity market designs often fall short in addressing this by…

In European day-ahead electricity markets, carbon allowance costs passed through by marginal fossil plants raise consumer expenditure and generate inframarginal rents for non-emitting generators. We propose a settlement modification: when…

We study the pricing of European-style options written on forward contracts within function-valued infinite-dimensional affine stochastic volatility models. The dynamics of the underlying forward price curves are modeled within the…

The voluntary carbon market is an important building block in the fight against climate change. However, it is not trivial for consumers to verify whether carbon offset projects deliver what they promise. While technical solutions for…

The presence of variable renewable energy resources with uncertain outputs in day-ahead electricity markets results in additional balancing needs in real-time. Addressing those needs cost-effectively and reliably within a competitive market…

The integration of renewable energy resources (RES) in the power grid can reduce carbon intensity, but also presents certain challenges. The uncertainty and intermittent nature of RES emphasize the need for flexibility in power systems.…

Most of the empirical studies on stochastic volatility dynamics favor the 3/2 specification over the square-root (CIR) process in the Heston model. In the context of option pricing, the 3/2 stochastic volatility model is reported to be able…

Mobile edge computing (MEC) has emerged as one of the key technical aspects of the fifth-generation (5G) networks. The integration of MEC with resource-constrained unmanned aerial vehicles (UAVs) could enable flexible resource provisioning…

In the Paris agreement of 2015, it was decided to reduce the CO2 emissions of the energy sector to zero by 2050 and to restrict the global mean temperature increase to 1.5 degree Celcius above the pre-industrial level. Such commitments are…

We consider the problem of reducing the carbon emissions of a set of firms over a finite horizon. A regulator dynamically allocates emission allowances to each firm. Firms face idiosyncratic as well as common economic shocks on emissions,…