Titlebook: Stochastics of Environmental and Financial Economics; Centre of Advanced S Fred Espen Benth,Giulia Di Nunno Conference proceedings‘‘‘‘‘‘‘‘

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Risk Aversion in Modeling of Cap-and-Trade Mechanism and Optimal Design of Emission Markets the theoretical work of environmental economists, cap-and-trade systems are put into operations all over the world. However, the practice from emissions trading yields a real stress test for the underlying theory and reveals a number of its weak points. This paper aims to fill the gap between gener

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Exponential Ergodicity of the Jump-Diffusion CIR Processntroduced with the help of a pure-jump Lévy process .. Under some suitable conditions on the Lévy measure of ., we derive a lower bound for the transition densities of the JCIR process. We also find some sufficient conditions under which the function ., ., is a Forster-Lyapunov function for the JCIR

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Modelling the Impact of Wind Power Production on Electricity Prices by Regime-Switching Lévy Semista on so-called regime-switching Lévy semistationary processes to account for forward-looking information consisting of predicted wind power generation. We show that our new regime-switching model, where the regime switch depends on the so-called wind penetration index, can describe recent electricity

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Pricing Options on EU ETS Certificates with a Time-Varying Market Price of Risk Modeln Carmona and Hinz [.] and Hinz [.]. As we find evidence for a time-varying market price of risk, we extend the Carmona-Hinz framework by introducing a bivariate pricing model. We show that the extended model is able to extract information on the market price of risk and evaluate its impact on the E

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A Weak Limit Theorem for Numerical Approximation of Brownian Semi-stationary Processesven that the volatility process is fully observed. In this work we present the corresponding weak limit theorem for the setting, where the volatility/drift process needs to be numerically simulated. In particular, weak approximation errors for smooth test functions can be obtained from our asymptotic theory.

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