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Climate Risk in Structural Credit Models

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  1. Article

    Open Access

    Intraday renewable electricity trading: advanced modeling and numerical optimal control

    As an extension of (Progress in industrial mathematics at ECMI 2018, pp. 469–475, 2019), this paper is concerned with a new mathematical model for intraday electricity trading involving both renewable and convent...

    Silke Glas, Rüdiger Kiesel, Sven Kolkmann… in Journal of Mathematics in Industry (2020)

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  2. Chapter and Conference Paper

    Pricing Options on EU ETS Certificates with a Time-Varying Market Price of Risk Model

    To price options on emission certificates reduced-form models have proved to be useful. We empirically analyse the performance of the model proposed in Carmona and Hinz [2] and Hinz [8]. As we find evidence for a...

    Ya Wen, Rüdiger Kiesel in Stochastics of Environmental and Financial Economics (2016)

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