73 citations · 279 across the 29 of their papers we have counts for
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q-fin.MF2020★ 2 cited
Modelling multi-period carbon markets using singular forward backward SDEs
Chassagneux Jean-Francois, Chotai Hinesh, Crisan Dan
We introduce a model for the evolution of emissions and the price of emissions allowances in a carbon market such as the European Union Emissions Trading System (EU ETS). The model…
math.PR2020
Switching problems with controlled randomisation and associated obliquely reflected BSDEs
Cyril Bénézet, Jean-François Chassagneux, Adrien Richou
We introduce and study a new class of optimal switching problems, namely switching problem with controlled randomisation, where some extra-randomness impacts the choice of switchin…