Handbook of Recent Advances in Commodity and Financial Modeling

1. Front Matter

   Pages i-xiv

   PDF

2. Risk Modeling

   1. Front Matter

      Pages 1-1

      PDF

   2. Directional Returns for Gold and Silver: A Cluster Analysis Approach

      • A. G. Malliaris, Mary Malliaris

      Pages 3-16

   3. Impact of Credit Risk and Business Cycles on Momentum Returns

      • Sirajum Munira Sarwar, Sharon Xiaowen Lin, Yaz Gülnur Muradoǧlu

      Pages 17-39

   4. Drivers of LBO Operating Performance: An Empirical Investigation in Asia

      • Aurélie Sannajust, Alain Chevalier

      Pages 41-67

   5. Time Varying Correlation: A Key Indicator in Finance

      • Rita L. D’Ecclesia, Denis Kondi

      Pages 69-87

   6. Measuring Model Risk in the European Energy Exchange

      • Angelica Gianfreda, Giacomo Scandolo

      Pages 89-110

3. Pricing and Valuation

   1. Front Matter

      Pages 111-111

      PDF

   2. Wine Futures: Pricing and Allocation as Levers Against Quality Uncertainty

      • Tim Noparumpa, Burak Kazaz, Scott Webster

      Pages 113-139

   3. VIX Computation Based on Affine Stochastic Volatility Models in Discrete Time

      • A. Hitaj, L. Mercuri, E. Rroji

      Pages 141-164

   4. Optimal Adaptive Sequential Calibration of Option Models

      • Erik Lindström, Carl Åkerlindh

      Pages 165-181

   5. Accurate Pricing of Swaptions via Lower Bound

      • Anna Maria Gambaro, Ruggero Caldana, Gianluca Fusai

      Pages 183-208

4. Optimization Techniques

   1. Front Matter

      Pages 209-209

      PDF

   2. Portfolio Optimization Using Modified Herfindahl Constraint

      • Asmerilda Hitaj, Giovanni Zambruno

      Pages 211-239

   3. Dynamic Asset Allocation with Default and Systemic Risks

      • Alessandro Sbuelz

      Pages 241-250

   4. Optimal Execution Strategy in Liquidity Framework Under Exponential Temporary Market Impact

      • Chiara Benazzoli, Luca Di Persio

      Pages 251-265

   5. Optimal Multistage Defined-Benefit Pension Fund Management

      • Giorgio Consigli, Vittorio Moriggia, Elena Benincasa, Giacomo Landoni, Filomena Petronio, Sebastiano Vitali et al.

      Pages 267-296

   6. Currency Hedging for a Multi-national Firm

      • Markku Kallio, Matti Koivu, Rudan Wang

      Pages 297-320

This handbook includes contributions related to optimization, pricing and valuation problems, risk modeling and decision making problems arising in global financial and commodity markets from the perspective of Operations Research and Management Science. The book is structured in three parts, emphasizing common methodological approaches arising in the areas of interest:

-          Part I: Optimization techniques

-          Part II: Pricing and Valuation

-          Part III: Risk Modeling

The book presents to a wide community of Academics and Practitioners a selection of theoretical and applied contributions on topics that have recently attracted increasing interest in commodity and financial markets. Within a structure based on the three parts, it presents recent state-of-the-art and original works related to:

-          The adoption of multi-criteria and dynamic optimization approaches in financial and insurance markets in presence of market stress and growing systemic risk;

-          Decision paradigms, based on behavioral finance or factor-based, or more classical stochastic optimization techniques, applied to portfolio selection problems including new asset classes such as alternative investments;

-          Risk measurement methodologies, including model risk assessment, recently applied to energy spot and future markets and new risk measures recently proposed to evaluate risk-reward trade-offs in global financial and commodity markets; and derivatives portfolio hedging and pricing methods recently put forward in the financial community in the aftermath of the global financial crisis.

• Commodity Modeling
• Dynamic Asset Allocation
• Energy Futures
• Financial Modeling
• Interest Rate Derivatives
• Swaptions

• Department of Management, Economics and Quantitative Methods, University of Bergamo, Bergamo, Italy

  Giorgio Consigli

• Department of Statistics and Quantitative Methods, University of Milan Bicocca, Milano, Italy

  Silvana Stefani, Giovanni Zambruno

Giorgio Consigli is an Associate Professor, Department of Management, Economics and Quantitative Methods at the University of Bergamo, Italy. His research interests include stochastic modeling of financial and commodity markets, applied stochastic optimization to long term financial planning problems, approximation methods for large scale optimization and financial engineering applications. He has been Member of the International Commission on Stochastic Programming (COSP) from 2007 to 2013 and since 2014 he is Coordinator of the EURO working Group on Stochastic Optimization. He received his undergraduate degree in Economics (Honors) at the University of Rome, La Sapienza, where he also earned his MS in Banking, and earned his Ph.D. in Mathematics at Cambridge University, where he was supervised by M.A.H. Dempster. He is a Springer author.



Silvana Stefani has been a Full Professor of Mathematics Applied to Economics and Finance at the University of Milan, Bicocca, since 2000. Her main research activities are in Discrete Mathematics applied to economics and finance; Stochastic Processes applied to finance and energy series; Energy and environmental markets; and Ranking and journal classification using fuzzy statistical techniques. She has published several books in both English and Italian (one with Springer).  


Giovanni Zambruno is a Full Professor at the University of Milan, Bicocca, Department of Statistics and Quantitative Methods. His research interests are Financial Mathematics, Applied Calculus, and Economics. He has been President of the Faculty Council of the MSc program in Economics and Finance since 2002, and was Coordinator of the Doctoral program in Mathematical Finance from 2005-2013.

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