Carbon Finance: Equilibrium Modeling and Empirical Analysis
Abstract:
This thesis studies the stochastic behavior of emission permit prices and its implications for related derivatives from a theoretical and an empirical perspective. It presents an equilibrium model for cap-and-trade systems, evaluates the empirical performance of reduced-form models for emission permit prices, and studies the effects of the yearly emissions announcement event on the European market for carbon emissions.
| Zugehörige Institution(en) am KIT | Institut für Finanzwirtschaft, Banken und Versicherungen (FBV) |
| Publikationstyp | Hochschulschrift |
| Jahr | 2013 |
| Sprache | Englisch |
| Identifikator | KITopen-ID: 1000041162 |
| Verlag | Karlsruhe |
| Abschlussart | Dissertation |
| Fakultät | Fakultät für Wirtschaftswissenschaften (WIWI) |
| Institut | Institut für Finanzwirtschaft, Banken und Versicherungen (FBV) |
| Prüfungsdatum | 24.10.2013 |
| Referent/Betreuer | Prof. M. Uhrig-Homburg |
| Schlagworte | emissions trading, emission permits, price dynamics, derivatives pricing, EU ETS |