Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Jump-diffusion modeling in emission markets   Mandatory emission trading schemes are being established around the world.
Participants of such market schemes are always exposed to risks. This leads to
the creation of an accompanying market for emission-linked derivatives. To
evaluate the fair prices of such financial products, one needs appropriate
models for the evolution of the underlying assets, emission allowance
certificates. In this paper, we discuss continuous time diffusion and
jump-diffusion models, the latter enabling one to model information shocks that
cause jumps in allowance prices. We show that the resulting martingale dynamics
can be described in terms of non-linear partial differential and
integro-differential equations and use a finite difference method to
investigate numerical properties of their discretizations. The results are
illustrated by a small numerical study.

34
The categories of this paper are: chem-ph
18
The categories of this paper are: econ
24
The categories of this paper are: dg-ga
26
The categories of this paper are: bayes-an
35
The categories of this paper are: mtrl-th
28
The categories of this paper are: alg-geom
7
The categories of this paper are: hep-th
0
The categories of this paper are: hep-ph
27
The categories of this paper are: comp-gas
11
The categories of this paper are: hep-lat
37
The categories of this paper are: supr-con
3
The categories of this paper are: physics
13
The categories of this paper are: quant-ph
29
The categories of this paper are: funct-an
30
The categories of this paper are: q-alg
19
The categories of this paper are: eess