Editors:
- Represents the state of the art in commodity and financial market analysis
- Particular attention to recent research on risk theory and management
- Editors and contributors are leaders in the field
Part of the book series: International Series in Operations Research & Management Science (ISOR, volume 257)
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Table of contents (14 chapters)
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Front Matter
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Risk Modeling
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Front Matter
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Optimization Techniques
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Front Matter
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About this book
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.
Editors and Affiliations
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Department of Management, Economics and Quantitative Methods, University of Bergamo, Bergamo, Italy
Giorgio Consigli
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Department of Statistics and Quantitative Methods, University of Milan Bicocca, Milano, Italy
Silvana Stefani, Giovanni Zambruno
About the editors
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.
Bibliographic Information
Book Title: Handbook of Recent Advances in Commodity and Financial Modeling
Book Subtitle: Quantitative Methods in Banking, Finance, Insurance, Energy and Commodity Markets
Editors: Giorgio Consigli, Silvana Stefani, Giovanni Zambruno
Series Title: International Series in Operations Research & Management Science
DOI: https://doi.org/10.1007/978-3-319-61320-8
Publisher: Springer Cham
eBook Packages: Business and Management, Business and Management (R0)
Copyright Information: Springer International Publishing AG 2018
Hardcover ISBN: 978-3-319-61318-5Published: 13 October 2017
Softcover ISBN: 978-3-319-87051-9Published: 18 August 2018
eBook ISBN: 978-3-319-61320-8Published: 30 September 2017
Series ISSN: 0884-8289
Series E-ISSN: 2214-7934
Edition Number: 1
Number of Pages: XIV, 320
Number of Illustrations: 6 b/w illustrations, 59 illustrations in colour
Topics: Operations Research/Decision Theory, Macroeconomics/Monetary Economics//Financial Economics, Operations Research, Management Science