{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,8,21]],"date-time":"2026-08-21T13:41:27Z","timestamp":1787319687646,"version":"build-2736575974"},"reference-count":20,"publisher":"Society for Industrial & Applied Mathematics (SIAM)","issue":"4","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["SIAM J. Control Optim."],"published-print":{"date-parts":[[2009,1]]},"abstract":"<jats:p>To meet the targets of the Kyoto Protocol, the European Union established the European Emission Trading Scheme, a mandatory market for carbon emission allowances. This regulatory framework has introduced a market for emission allowances and created a variety of emission-related financial instruments. In this work, we show that the economic mechanism of carbon allowance price formation can be formulated in the framework of competitive stochastic equilibrium models, and we show that its solution reduces to an optimal stochastic control problem. Using this mathematical setup, we identify the main allowance price drivers and show how stochastic control can be used to treat quantitative problems in carbon price risk management.<\/jats:p>","DOI":"10.1137\/080736910","type":"journal-article","created":{"date-parts":[[2009,6,17]],"date-time":"2009-06-17T18:04:42Z","timestamp":1245261882000},"page":"2168-2190","source":"Crossref","is-referenced-by-count":86,"title":["Optimal Stochastic Control and Carbon Price Formation"],"prefix":"10.1137","volume":"48","author":[{"given":"Ren\u00e9","family":"Carmona","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Max","family":"Fehr","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Juri","family":"Hinz","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"351","published-online":{"date-parts":[[2009,6,17]]},"reference":[{"key":"R1","unstructured":"Carbon $2006$, Towards a Truly Global Market\n                      , Point Carbon, Washington, D.C., 2006; available at http:\/\/www.pointcarbon.com\/research\/carbonmarketresearch\/analyst\/1.2843."},{"key":"R2","doi-asserted-by":"crossref","unstructured":"R. Carmona, F. Fehr, J. Hinz, and A. Porchet,\n                      Market Designs for Emissions Trading Schemes\n                      , preprint, 2009.","DOI":"10.1137\/080722813"},{"key":"R3","unstructured":"R. Carmona and and J. Hinz,\n                      Risk Neutral Modeling of Emission Allowance Prices and Option Valuation\n                      , tech. report, Princeton University, Princeton, NJ, 2009."},{"key":"R4","unstructured":"U. Cetin and M. Verschuere,\n                      Pricing and Hedging in Carbon Emissions Markets\n                      , preprint, London School of Economics, 2008."},{"key":"R5","doi-asserted-by":"crossref","unstructured":"M. Chesney and P. Taschini,\n                      The endogenous price dynamics of the emission allowances and an application to CO$_2$ option pricing\n                      , preprint, Institut f\u00fcr Schweizerisches Bankwesen, Z\u00fcrich, 2008.","DOI":"10.2139\/ssrn.1090150"},{"key":"R6","first-page":"179","volume":"9","author":"Cronshaw M.","year":"1996","journal-title":"J. Regulatory Econom."},{"key":"R7","unstructured":"Dresdner Kleinwort Wasserstein Research Department,\n                      Emission Trading, Carbon Derby Part\n                      2:\n                      And They're Off\n                      , Dresdner Kleinwort Wasserstein, Frankfurt, Germany, 2003; available online from http:\/\/www.unepfi.org\/fileadmin\/documents\/materiality1\/emissions_trading_dresdner_2004.pdf."},{"key":"R8","doi-asserted-by":"publisher","DOI":"10.1007\/BF03353932"},{"key":"R9","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(72)90049-X"},{"key":"R10","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2007.09.024"},{"key":"R11","unstructured":"J. Reinaud,\n                      Emissions Trading and Its Possible Impacts on Investment Decisions in the Power Sector\n                      , IEA Information Paper, International Energy Agency, Paris, 2003."},{"key":"R12","unstructured":"A. Robertson and W. Robertson,\n                      Topological Vector Spaces\n                      , Cambridge University Press, Cambridge, UK, 1973."},{"key":"R13","doi-asserted-by":"publisher","DOI":"10.1006\/jeem.1996.0044"},{"key":"R14","doi-asserted-by":"publisher","DOI":"10.1006\/jeem.1999.1122"},{"key":"R15","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeem.2008.03.003"},{"key":"R16","doi-asserted-by":"publisher","DOI":"10.1006\/jeem.2001.1198"},{"key":"R17","doi-asserted-by":"crossref","unstructured":"L. Taschini,\n                      Environmental Economics and Modeling Marketable Permits: A Survey\n                      , tech. report, 2009.","DOI":"10.1007\/s10690-009-9108-2"},{"key":"R18","unstructured":"T. Tietenberg,\n                      Emission Trading: An Exercise in Reforming Pollution Policy\n                      , RFF Press, Washington D.C., 1985."},{"key":"R19","unstructured":"T. Tietenberg,\n                      Environmental Natural and Resource Economics\n                      , Addison\u2013Wesley, Boston, 2003."},{"key":"R20","unstructured":"M. Wagner,\n                      CO2-Emissionszertifikate, Preismodellierung und Derivatebewertung\n                      , Ph.D. thesis, Universit\u00e4t Karlsruhe, Karlsruhe, Germany, 2006."}],"container-title":["SIAM Journal on Control and Optimization"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/epubs.siam.org\/doi\/pdf\/10.1137\/080736910","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2026,8,21]],"date-time":"2026-08-21T12:51:21Z","timestamp":1787316681000},"score":1,"resource":{"primary":{"URL":"https:\/\/epubs.siam.org\/doi\/10.1137\/080736910"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2009,1]]},"references-count":20,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2009,1]]}},"alternative-id":["10.1137\/080736910"],"URL":"https:\/\/doi.org\/10.1137\/080736910","relation":{},"ISSN":["0363-0129","1095-7138"],"issn-type":[{"value":"0363-0129","type":"print"},{"value":"1095-7138","type":"electronic"}],"subject":[],"published":{"date-parts":[[2009,1]]}}}