Michael Coulon
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View article: Unveiling individual and collective temporal patterns in the tanker shipping network
Unveiling individual and collective temporal patterns in the tanker shipping network Open
The global shipping network, which moves over 80% of the world's goods, is not only a vital backbone of the global economy but also one of the most polluting industries. Studying how this network operates is crucial for improving its effic…
View article: Trade Dynamics of the Global Dry Bulk Shipping Network
Trade Dynamics of the Global Dry Bulk Shipping Network Open
This study investigates the inherently random structures of dry bulk shipping networks, often likened to a taxi service, and identifies the underlying trade dynamics that contribute to this randomness within individual cargo sub-networks. …
View article: On the Optimal Choice of Strike Conventions in Exchange Option Pricing
On the Optimal Choice of Strike Conventions in Exchange Option Pricing Open
An important but rarely-addressed option pricing question is how to choose appropriate strikes for implied volatility inputs when pricing more exotic multi-asset derivatives. By means of Malliavin calculus, we construct an asymptotically o…
View article: The Valuation of Clean Spread Options
The Valuation of Clean Spread Options Open
The purpose of the paper is to present a new pricing method for clean spread options, and to illustrate its main features on a set of numerical examples produced by a dedicated computer code. The novelty of the approach is embedded in the …
View article: Evaluating the discrimination ability of proper multi-variate scoring rules
Evaluating the discrimination ability of proper multi-variate scoring rules Open
Proper scoring rules are commonly applied to quantify the accuracy of distribution forecasts. Given an observation they assign a scalar score to each distribution forecast, with the lowest expected score attributed to the true distribution…
View article: Climate clubs embedded in Article 6 of the Paris Agreement
Climate clubs embedded in Article 6 of the Paris Agreement Open
Recent times have witnessed an increasing number of countries and private firms pledging carbon neutrality by mid-century. Whilst representing a significant improvement in intentions to tackle climate change, such pledges lack substance an…
View article: Rationale for a Climate Club Embedded in Article 6 of the Paris Agreement – A Pathway to Carbon Neutrality
Rationale for a Climate Club Embedded in Article 6 of the Paris Agreement – A Pathway to Carbon Neutrality Open
Recent times have witnessed an increasing number of countries and private firms pledging carbon neutrality by mid-century. Whilst representing a significant improvement in intentions to tackle climate change, such pledges lack substance an…
View article: Numerical solution of a nonlinear PDE model for pricing Renewable Energy Certificates (RECs)
Numerical solution of a nonlinear PDE model for pricing Renewable Energy Certificates (RECs) Open
In this article we present a valuation method for Renewable Energy Certificates (RECs) or green certificates.For this purpose, we propose a non-linear PDE model with two stochastic factors: the accumulated green certificates sold by an aut…
View article: Evaluating the Discrimination Ability of Proper Multivariate Scoring Rules
Evaluating the Discrimination Ability of Proper Multivariate Scoring Rules Open
Proper scoring rules are commonly applied to quantify the accuracy of distribution forecasts. Given an observation they assign a scalar score to each distribution forecast, with the the lowest expected score attributed to the true distribu…
View article: The trade-off between liquidity and correlation: Proxy hedging of bunker fuel
The trade-off between liquidity and correlation: Proxy hedging of bunker fuel Open
Fuel costs are a substantial component of the shipping industry, making bunker fuel price risk a major consideration for shipping firms. We analyse the hedging effectiveness of different proxy hedges with oil futures as well as OTC forward…
View article: - The Valuation of Clean Spread Options: Linking Electricity, Emissions and Fuels
- The Valuation of Clean Spread Options: Linking Electricity, Emissions and Fuels Open
Spread options are most oen used in the commodity and energy markets to encapsulate the protability of a production process by comparing the price of a rened product to the costs of production, including, but not limited to, the prices of …
View article: SMART-SREC: A Stochastic Model of the New Jersey Solar Renewable Energy Certificate Market
SMART-SREC: A Stochastic Model of the New Jersey Solar Renewable Energy Certificate Market Open
Markets for solar renewable energy certificates (SRECs) are gaining in prominence in many states, stimulating growth of the US solar industry. However, SREC market prices have been extremely volatile, causing high risk to participants and …