The aim of this work is to bring an econometric approach upon the CO2 market. We identify the specificities of this market, and regarding the carbon as a commodity. We investigate the econometric particularities of CO2 prices behavior and their result of the calibration. We apprehend and explain the reasons of the non-Gaussian behavior of this market focusing mainly upon jump diffusion and gene...

We consider a mean-variance portfolio selection problem in financial market with contagion risk. The risky assets follow jump-diffusion model, which jumps are driven by multivariate Hawkes process mutual-excitation effect. feature of the captures risk sense that each price jump an asset increases likelihood future not only same but also other assets. apply stochastic maximum principle, backward...

This paper concerns the optimal stopping time problem in a nite horizon of a controlled jump diiusion process. We prove that the value function is continuous and is a viscosity solution of the inte-grodiierential variational inequality arising from the associated dynamic programming. We also establish comparison principles, which yield uniqueness results. Moreover, the viscosity solution approa...

From the spot prices we have to identify the following six parameters: α , μ, σ, Km , γ, Φ. If necessary, a seventh parameter, λ, should be identified from the futures prices. The six parameters mentioned above can be identified using the maximum likelihood method (Ball and Torous, 1983; Lien and Strom, 1999; Clewlow and Strickland, 2000) or the moments method (Lien and Strom, 1999; Deng, 1999)...