6 papers
Fast and slow mean-field games
Roxana Dumitrescu, Julian Gutierrez Pineda, Peter Tankov
We propose a framework for constructing approximate Nash equilibria in mean-field games (MFG) with common noise based on a two-time-scale structure. In our model, the common noise…
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.…
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…
Propagation of carbon price shocks through the value chain: the mean-field game of defaults
Zorana Grbac, Simone Pavarana, Thorsten Schmidt +1
We introduce a new mean-field game framework to analyze the impact of carbon pricing in a multi-sector economy with defaultable firms. Each sector produces a homogeneous good, with…
Climate Finance Bench
Rafik Mankour, Yassine Chafai, Hamada Saleh +3
Climate Finance Bench introduces an open benchmark that targets question-answering over corporate climate disclosures using Large Language Models. We curate 33 recent sustainabilit…
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…