AEI-DFG APMANA-EAREC: Advanced Pricing Models and Numerical Approaches for Emission Allowances and Renewable Energy Certificates

• Applicant: Professor Dr. Matthias Ehrhardt
• Subject Area: Mathematics
• Term: since 2024
• Project identifier: Deutsche Forschungsgemeinschaft (DFG) - Project number 541395546

In this project, we mainly deal with the mathematical analysis and numerical solution of recent models that arise in energy markets certain certificates and their derivatives. New models will also be proposed. In particular, we will focus on CO2 emission allowances (EA) and renewable emission certificates (RECs), the latter also known as green bonds. Mathematical models for the pricing of the certificates are formulated in terms of complex forward backward stochastic differential equations (FBSDEs) and nonlinear partial differential equations (PDEs). The mathematical analysis to establish the existence and uniqueness of the solution and the efficient numerical solution of these models is the main objective of this project.

• DFG Programme: Research Grants
• International Connection: Portugal, Spain
• Partner Organisation: Agencia Estatal de Investigación
• Cooperation Partners: Professor Joao Guerra; Professor Dr. Carlos Vázquez Cendón