  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.
