Published May 10, 2024, 2:23 p.m.
SEMINARIO 14-05-2024: “Modelling spot and option-on-futures prices of the EU carbon allowance"
Martedì 14 maggio 2024, ore 15:00, Aula Seminari DESF, Piano Terra del Cubo 0/C
Il Dipartimento di Economia, Statistica e Finanza è lieto di invitarvi al seminario sul tema:
Modelling spot and option-on-futures prices of the EU carbon allowance
Relatore: Prof. Rogemar Mamon, University of Western Ontario, Canada
Data: Martedì 14 maggio 2024, ore 15:00
Luogo: Aula Seminari DESF, Piano Terra del Cubo 0/C
Abstract
We investigate the behaviour of the spot price of carbon emission allowance in the European Union Emissions Trading Scheme (EU ETS). Motivated by the volatility clustering phenomenon, we embed a regime-switching mechanism into four stochastic models governed by a hidden Markov chain (HMC), which enables time-dependent parametrisation. A recursive HMC filtering technique was utilised in model calibration. We examine the pricing of European-style futures call options under the proposed modelling setups. The models are assessed by comparing the pricing errors using Bloomberg’s call option data on EUA futures. A certain regime-switching model is deemed as the best-fitting model amongst the alternatives developed in this study. We also found that the cost-of-carry relationship holds for both the interphase and intra-phase contracts.
Si allega la locandina del seminario.