Holder： Sara Biagini（LUISS University）
Time：2024-09-19 17:00-18:00
Location：Zoom（ID:861 3664 8032; password: 506736)
Abstract:
We analyze the impact of carbon regulation on a system of polluting companies. We consider two main compliance frameworks: one based on an ETS offset mechanism and the other relying only on abatement efforts. In a continuous time, stochastic model for the emissions, firms have to match their emissions imbalance with their reduction effort at the compliance date. Infinite dimensional scenario-wise compliance is not easy to tackle, but our methodology builds on a simple annihilation of the stochastic first-order conditions associated with the firm's individual cost minimizations. The existence and uniqueness of the optimizers and the equilibrium carbon price are proven under necessary and sufficient conditions, which are quite mild. The optimizers and the carbon price are explicit, and their analytic expression provides an instance of classic economic principles. Numerical examples illustrate the flexibility of the model and the effect of different allocation policies that may adopted by the central authority.
About the Speaker:
Sara holds a Mathematics (Probability) degree from the University of Pisa and a PhD in Applied Mathematics from Scuola Normale Superiore, Pisa. She started her career as a researcher at the University of Perugia, and then she held an academic position at the University of Pisa. Since 2015 she has been an Associate Professor of Mathematical Finance at LUISS University, the University led by Confindustria (the Confederation of Italian Industrials).
Her research focuses on probability theory and mathematical modeling in finance and economics. Her earlier studies focused on portfolio optimization, risk measures, and pricing under ambiguity, while her recent interests have shifted toward environmental applications.
She has been a visiting scholar in many European and US universities, including Princeton and Boston University, Ecole Polytechnique de France, Paris Dauphine, the LSE, and the Imperial College London. She serves as an Associate Editor of Mathematical Finance and IJTAF.
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