2 papers
q-fin.ST2024
The puzzle of Carbon Allowance spread
Michele Azzone, Roberto Baviera, Pietro Manzoni
A growing number of contributions in the literature have identified a puzzle in the European carbon allowance (EUA) market. Specifically, a persistent cost-of-carry spread (C-sprea…
q-fin.CP2024
Fast and General Simulation of Lévy-driven Ornstein Uhlenbeck processes for Energy Derivatives
Roberto Baviera, Pietro Manzoni
Lévy-driven Ornstein-Uhlenbeck (OU) processes represent an intriguing class of stochastic processes that have garnered interest in the energy sector for their ability to capture ty…