Stochastic Optimization Methods in Finance and Energy

New Financial Products and Energy Market Strategies

  • Marida Bertocchi
  • Giorgio Consigli
  • Michael A. H. Dempster

Part of the International Series in Operations Research & Management Science book series (ISOR, volume 163)

Table of contents

  1. Front Matter
    Pages i-xxiii
  2. Financial Applications

    1. Front Matter
      Pages 1-1
    2. William T. Ziemba, Leonard C. MacLean
      Pages 3-20
    3. Michael A.H. Dempster, Matteo Germano, Elena A. Medova, Muriel I. Rietbergen, Francesco Sandrini, Mike Scrowston
      Pages 21-42
    4. John M. Mulvey, Thomas Bauerfeind, Koray D. Simsek, Mehmet T. Vural
      Pages 43-71
    5. Patrizia Beraldi, Giorgio Consigli, Francesco De Simone, Gaetano Iaquinta, Antonio Violi
      Pages 73-98
    6. Giorgio Consigli, Massimo di Tria, Michele Gaffo, Gaetano Iaquinta, Vittorio Moriggia, Angelo Uristani
      Pages 99-124
    7. A. Consiglio, Domenico De Giovanni
      Pages 125-139
  3. Energy Applications

    1. Front Matter
      Pages 141-141
    2. Andres Ramos, Santiago Cerisola, Jesus M. Latorre, Rafael Bellido, Alejandro Perea, Elena Lopez
      Pages 143-161
    3. Rosella Giacometti, Maria Teresa Vespucci, Marida Bertocchi, Giovanni Barone Adesi
      Pages 163-179
    4. Chefi Triki, Antonio J. Conejo, Lina P. Garcés
      Pages 181-201
    5. Antonio Alonso-Ayuso, Nico di Domenica, Laureano F. Escudero, Celeste Pizarro
      Pages 203-226
    6. Marte Fodstad, Kjetil T. Midthun, Frode Rømo, Asgeir Tomasgard
      Pages 227-252
    7. Dimitri Drapkin, Ralf Gollmer, Uwe Gotzes, Frederike Neise, Rüdiger Schultz
      Pages 253-271
    8. Andreas Ehrenmann, Yves Smeers
      Pages 273-310
  4. Theory and Computation

    1. Front Matter
      Pages 311-311
    2. Holger Heitsch, Werner Römisch
      Pages 313-341
    3. Michael A.H. Dempster, Elena A. Medova, Yee Sook Yong
      Pages 389-425
    4. Csaba I. Fábián, Gautam Mitra, Diana Roman, Victor Zverovich, Tibor Vajnai, Edit Csizmás et al.
      Pages 441-469
  5. Back Matter
    Pages 471-474

About this book


This volume presents a collection of contributions dedicated to applied problems in the financial and energy sectors that have been formulated and solved in a stochastic optimization framework. The invited authors represent a group of scientists and practitioners, who cooperated in recent years to facilitate the growing penetration of stochastic programming techniques in real-world applications, inducing a significant advance over a large spectrum of complex decision problems.

After the recent widespread liberalization of the energy sector in Europe and the unprecedented growth of energy prices in international commodity markets, we have witnessed a significant convergence of strategic decision problems in the energy and financial sectors. This has often resulted in common open issues and has induced a remarkable effort by the industrial and scientific communities to facilitate the adoption of advanced analytical and decision tools. The main concerns of the financial community over the last decade have suddenly penetrated the energy sector inducing a remarkable scientific and practical effort to address previously unforeseeable management problems. Stochastic Optimization Methods in Finance and Energy: New Financial Products and Energy Markets Strategies aims to include in a unified framework for the first time an extensive set of contributions related to real-world applied problems in finance and energy, leading to a common methodological approach and in many cases having similar underlying economic and financial implications.

Part 1 of the book presents 6 chapters related to financial applications; Part 2 presents 7 chapters on energy applications; and Part 3 presents 5 chapters devoted to specific theoretical and computational issues.


Energy Markets Equilibrium Finance Operations Research Stochastic Optimization

Editors and affiliations

  • Marida Bertocchi
    • 1
  • Giorgio Consigli
    • 2
  • Michael A. H. Dempster
    • 3
  1. 1., Department of Mathematics, Statistics, CUniversity of BergamoBergamoItaly
  2. 2., Department of Mathematics, Statistics, CUniversity of BergamoBergamoItaly
  3. 3.Dept. Pure Mathematics and, Mathematical StatisticsUniversity of CambridgeCambridgeUnited Kingdom

Bibliographic information

  • DOI
  • Copyright Information Springer Science+Business Media, LLC 2011
  • Publisher Name Springer, New York, NY
  • eBook Packages Business and Economics
  • Print ISBN 978-1-4419-9585-8
  • Online ISBN 978-1-4419-9586-5
  • Series Print ISSN 0884-8289
  • Buy this book on publisher's site
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