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Risk assessment of climate change mitigation measures

Funding: 2013: $62,000
2014: $60,000
2015: $60,000

Project Member(s): Novikov, A., Nikitopoulos Sklibosios, C., Hinz, J.

Funding or Partner Organisation: Australian Research Council (ARC Discovery Projects)

Start year: 2013

Publications:

Cheng, B, Nikitopoulos Sklibosios, C & Schlogl, E 2019, 'Interest rate risk in long-dated commodity options positions: To hedge or not to hedge?', Journal of Futures Markets, vol. 39, no. 1, pp. 109-127.
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Hinz, J & Yee, J 2018, 'Optimal forward trading and battery control under renewable electricity generation', Journal of Banking and Finance, vol. 95.
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Andréasson, JG, Shevchenko, PV & Novikov, A 2017, 'Optimal consumption, investment and housing with means-tested public pension in retirement', Insurance: Mathematics and Economics, vol. 75, pp. 32-47.
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Hinz, J & Yee, J 2017, 'Stochastic switching for partially observable dynamics and optimal asset allocation', International Journal of Control, vol. 90, no. 3, pp. 553-565.
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Novikov, A, Alexander, S, Kordzakhia, N & Ling, T 2017, 'Pricing of asian-type and basket options via bounds', Theory of Probability and Its Applications, vol. 61, no. 1, pp. 94-106.
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Falbo, P & Hinz, J 2016, 'Risk Aversion in Modeling of Cap-and-Trade Mechanism and Optimal Design of Emission Markets' in Benth, E..F. & Di Nunno, G. (eds), Stochastics of Environmental and Financial Economics, Springer, Germany, pp. 265-284.
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Alexander, S, Novikov, A & Kordzakhia, N 2016, 'Bounds On Prices For Asian Options Via Fourier Methods', ANZIAM Journal, vol. 57, no. 3, pp. 299-318.
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Hinz, J & Yap, N 2016, 'Solutions and Diagnostics Of Switching Problems With Linear State Dynamics', ANZIAM Journal, vol. 57, no. 3, pp. 339-351.
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Zhu, SP & Novikov, A 2016, 'Editorial: stochastic and computational methods in finance', ANZIAM Journal, vol. 57, no. 3, pp. 205-206.
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Hinz, J, Falbo, P & Pelizzari, C 2015, 'Risk-Averse Equilibrium Modeling and Social Optimality of Cap-and-Trade Mechanisms', Stochastic Models, Statistics and Their Applications, Workshop on Stochastic Models, Statistics and Their Applications, Springer, Wrocław, Poland, pp. 261-269.
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FOR Codes: Environment and Resource Economics, Investment and Risk Management, Management of Greenhouse Gas Emissions from Electricity Generation, Market-Based Mechanisms, Climate Change Mitigation Strategies