摘要翻译：
世界各地正在建立强制性排放交易计划。这类市场计划的参与者总是面临风险。这导致了与排放相关的衍生品的伴随市场的建立。为了评估这类金融产品的公平价格，需要适当的基础资产演变模型，即排放限额证书。本文讨论了连续时间扩散模型和跳跃扩散模型，后者使人们能够建立引起允许价格跳跃的信息冲击模型。我们证明了所得鞅动力学可以用非线性偏微分和积分微分方程来描述，并用有限差分方法研究了它们离散的数值性质。通过一个小的数值研究说明了这一结果。
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英文标题：
《Jump-diffusion modeling in emission markets》
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作者：
K. Borovkov, G. Decrouez, J. Hinz
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最新提交年份：
2010
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics        数学
二级分类：Optimization and Control        优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  Mandatory emission trading schemes are being established around the world. Participants of such market schemes are always exposed to risks. This leads to the creation of an accompanying market for emission-linked derivatives. To evaluate the fair prices of such financial products, one needs appropriate models for the evolution of the underlying assets, emission allowance certificates. In this paper, we discuss continuous time diffusion and jump-diffusion models, the latter enabling one to model information shocks that cause jumps in allowance prices. We show that the resulting martingale dynamics can be described in terms of non-linear partial differential and integro-differential equations and use a finite difference method to investigate numerical properties of their discretizations. The results are illustrated by a small numerical study.
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PDF链接：
https://arxiv.org/pdf/1001.3728