Submitted by Izabel Franco (izabel-franco@ufscar.br) on 2016-09-23T14:42:46Z No. of bitstreams: 1 DissPLS.pdf: 887262 bytes, checksum: e54f2438d019bad9fa31a2f0e8b98d66 (MD5) / Approved for entry into archive by Marina Freitas (marinapf@ufscar.br) on 2016-09-26T20:40:36Z (GMT) No. of bitstreams: 1 DissPLS.pdf: 887262 bytes, checksum: e54f2438d019bad9fa31a2f0e8b98d66 (MD5) / Approved for entry into archive by Marina Freitas (marinapf@ufscar.br) on 2016-09-26T20:40:46Z (GMT) No. of bitstreams: 1 DissPLS.pdf: 887262 bytes, checksum: e54f2438d019bad9fa31a2f0e8b98d66 (MD5) / Made available in DSpace on 2016-09-26T20:40:52Z (GMT). No. of bitstreams: 1 DissPLS.pdf: 887262 bytes, checksum: e54f2438d019bad9fa31a2f0e8b98d66 (MD5) Previous issue date: 2015-04-24 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES) / The Rosenau-Hyman, or K(m, n), equations are a generalized version of the Korteweg-de Vries (KdV) equation where the dipersive term is non-linear. Such partial differential equations not always have a specific method by which can be solved, besides the solutions are not always analytical. The Lie symmetry method was applied to look for solutions of these equations. This method consists in finding the most general symmetry group of the equation, wherewith the solution can be found. It was found an expression to the solution and to some particular cases. It was shown that in the case K(2, 2) a new kind of solution, called compacton, with peculiar properties is found. / Equações Rosenau-Hyman, ou K(m, n), são uma versão generalizada da equação Kortewegde Vries (KdV) em que o termo dispersivo é não-linear. Essas equações diferencias nãolineares nem sempre possuem um método específico pelo qual podem ser resolvidas, além de que as soluções nem sempre são analíticas. O método de simetria de Lie foi aplicado para buscar por soluções dessas equações. Esse método consiste em encontrar o grupo de simetria mais geral da equação, por meio do qual a solução pode ser encontrada. Obteve-se uma expressão para a solução e alguns casos particulares. Foi mostrado que para K(2, 2) um novo tipo de solução, chamada compacton, com propriedades peculiares é encontrado.

This thesis is concerned with the mathematical analysis of electricity and carbon emission markets. We introduce a novel, versatile and tractable stochastic framework for the joint price formation of electricity spot prices and allowance certificates. In the proposed framework electricity and allowance prices are explained as functions of specific fundamental factors, such as the demand for electricity and the prices of the fuels used for its production. As a result, the proposed model very clearly captures the complex dependency of the modelled prices on the aforementioned fundamental factors. The allowance price is obtained as the solution to a coupled forward-backward stochastic differential equation. We provide a rigorous proof of the existence and uniqueness of a solution to this equation and analyse its behaviour using asymptotic techniques. The essence of the model for the electricity price is a carefully chosen and explicitly constructed function representing the supply curve in the electricity market. The model we propose accommodates most regulatory features that are commonly found in implementations of emissions trading systems and we analyse in detail the impact these features have on the prices of allowance certificates. Thereby we reveal a weakness in existing regulatory frameworks, which, in rare cases, can lead to allowance prices that do not conform with the conditions imposed by the regulator. We illustrate the applicability of our model to the pricing of derivative contracts, in particular clean spread options and numerically illustrate its ability to "see" relationships between the fundamental variables and the option contract, which are usually unobserved by other commonly used models in the literature. The results we obtain constitute flexible tools that help to efficiently evaluate the financial impact current or future implementations of emissions trading systems have on participants in these markets.