The Paris agreement in 2016 marks a global effort to limit the increase in temperature. In that spirit, the Federal Government of Canada introduced a carbon tax to reduce greenhouse gas emissions. The main goal of this paper is to define the correct approach to carbon pricing. Following the...

The paper overviews our recent results in energy market modelling, including: option pricing formula for a mean-reversion asset; variance and volatility swaps in energy markets; applications of weather derivatives in energy markets; pricing crude oil options using L evy processes; energy...