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q-fin.MF2024
A model of strategic sustainable investment
Tiziano De Angelis, Caio César Graciani Rodrigues, Peter Tankov
We study a problem of optimal irreversible investment and emission reduction formulated as a nonzero-sum dynamic game between an investor with environmental preferences and a firm.…
q-fin.MF2024
Price impact and long-term profitability of energy storage
Roxana Dumitrescu, Redouane Silvente, Peter Tankov
We study the price impact of storage facilities in electricity markets and analyze the long-term profitability of these facilities in prospective scenarios of energy transition. To…
q-fin.MF2024
Optimal stopping and divestment timing under scenario ambiguity and learning
Andrea Mazzon, Peter Tankov
Aiming to analyze the impact of environmental transition on the value of assets and on asset stranding, we study optimal stopping and divestment timing decisions for an economic ag…