Handbook of Quantitative Sustainable Finance

Peter Tankov is professor of quantitative finance at ENSAE, the French National School for Statistics and Economic Administration, having previously worked at Paris-Cite university and Ecole Polytechnique. He is a mathematician, specialist in applied probability and quantitative finance. He earned his PhD in applied mathematics from Ecole Polytechnique in 2004. His current research focuses on green and sustainable finance, where he aims to develop quantitative methodologies. Peter is the author of over 60 research articles on these and other topics and of the widely read book, Financial Modelling with Jump Processes. He is the recipient of the 2016 Best Young Researcher in Finance award of the Europlace Institute of Finance and the 2024 Louis Bachelier Prize of London Mathematical Society, SMAI, and Natixis Foundation. Professor Tankov is the scientific director of the Paris Agreement Research Commons foundation at Louis Bachelier Institute, where he leads data-oriented initiatives, and member of editorial boards of the main quantitative finance journals: Mathematical Finance and Finance and Stochastics.Ruixun Zhang is an associate professor with tenure at Peking University. Ruixun earned a PhD in Applied Mathematics from MIT in 2015, and bachelor's degrees in Mathematics and Applied Mathematics, and Economics (double degree) from Peking University in 2011. Ruixun’s research interests include green finance, machine learning, market microstructure, and evolutionary models of financial behavior. His research has appeared in leading journals such as Proceedings of the National Academy of Sciences, Operations Research, Management Science, and Journal of the American Statistical Association. His work has been recognized by the S&P Global Academic ESG Research Award, the International Centre for Pension Management (ICPM) Research Award, the Commodity and Energy Markets Association (CEMA) Questrom-CEMA Best Paper Prize, the SIAM Activity Group on Financial Mathematics and Engineering Conference Paper Prize, and the CFRI&CIRF-China Finance Review International Research Excellence Award. He serves on the editorial board of Digital Finance and International Journal of Financial Engineering.

• 1 Introduction: what can quantitative finance bring to sustainable finance? I Risks and Regulation 2 Transition risks: a new frontier for risk management 3 Green investment and asset stranding under transition scenario uncertainty 4 Climate stress testing 5 Combating climate change with green quantitative easing II Asset Pricing and Portfolio Management 6 Dissecting green returns 7 Climate impact investing 8 Quantifying the impact of impact investing 9 Performance attribution for portfolio constraints 10 Portfolio alignment and net zero investing III Data, Measurement, and AI 11 Data for climate and sustainable finance 12 Estimating corporate greenhouse gas emissions 13 Measurement of firm climate risks 14 ESG scores to the rescue: objectives, procedures, and uses IV Product Design and Specific Markets 15 The value of green energy: optimal investment in mutually exclusive projects and operating leverage 16 The effect of pro-environmental preferences on bond prices: Evidence from green bonds 17 Stochastic carbon regulation in continuous time 18 Insurance products and sustainability