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Πλοήγηση ανά Επιβλέπων "Markellos, Raphael"

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  • Μικρογραφία εικόνας
    Τεκμήριο
    Derivatives pricing and risk management in emissions and electricity markets
    Daskalakis, Georgios; Athens University of Economics and Business, Department of Management Science and Technology; Markellos, Raphael
    This Thesis presents a comprehensive study of the European Union Emissions Trading Scheme (EU ETS) from a financial perspective. Specifically, the informational efficiency of the largest European emission (or carbon) exchanges is initially assessed. Subsequently, a theoretically valid and empirically correct framework for the pricing of emission allowance futures and options on futures is described. Finally, the pricing of electricity forwards and futures in the European emissions constrained economy is discussed. Overall, the analysis provides particularly important insights for the risk management practices of the emission intensive firms, for policy makers and for the growing community of energy and carbon investors.