Advertisement

Handbook of Recent Advances in Commodity and Financial Modeling

Quantitative Methods in Banking, Finance, Insurance, Energy and Commodity Markets

  • Giorgio Consigli
  • Silvana Stefani
  • Giovanni Zambruno

Part of the International Series in Operations Research & Management Science book series (ISOR, volume 257)

Table of contents

  1. Front Matter
    Pages i-xiv
  2. Risk Modeling

    1. Front Matter
      Pages 1-1
    2. Sirajum Munira Sarwar, Sharon Xiaowen Lin, Yaz Gülnur Muradoǧlu
      Pages 17-39
    3. Aurélie Sannajust, Alain Chevalier
      Pages 41-67
    4. Rita L. D’Ecclesia, Denis Kondi
      Pages 69-87
    5. Angelica Gianfreda, Giacomo Scandolo
      Pages 89-110
  3. Pricing and Valuation

    1. Front Matter
      Pages 111-111
    2. Tim Noparumpa, Burak Kazaz, Scott Webster
      Pages 113-139
    3. Erik Lindström, Carl Åkerlindh
      Pages 165-181
    4. Anna Maria Gambaro, Ruggero Caldana, Gianluca Fusai
      Pages 183-208
  4. Optimization Techniques

    1. Front Matter
      Pages 209-209
    2. Asmerilda Hitaj, Giovanni Zambruno
      Pages 211-239
    3. Giorgio Consigli, Vittorio Moriggia, Elena Benincasa, Giacomo Landoni, Filomena Petronio, Sebastiano Vitali et al.
      Pages 267-296
    4. Markku Kallio, Matti Koivu, Rudan Wang
      Pages 297-320

About this book

Introduction

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.

Keywords

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

Editors and affiliations

  • Giorgio Consigli
    • 1
  • Silvana Stefani
    • 2
  • Giovanni Zambruno
    • 3
  1. 1.Department of Management, Economics and Quantitative MethodsUniversity of BergamoBergamoItaly
  2. 2.Department of Statistics and Quantitative MethodsUniversity of Milan BicoccaMilanoItaly
  3. 3.Department of Statistics and Quantitative MethodsUniversity of Milan BicoccaMilanoItaly

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-319-61320-8
  • Copyright Information Springer International Publishing AG 2018
  • Publisher Name Springer, Cham
  • eBook Packages Business and Management
  • Print ISBN 978-3-319-61318-5
  • Online ISBN 978-3-319-61320-8
  • Series Print ISSN 0884-8289
  • Series Online ISSN 2214-7934
  • Buy this book on publisher's site
Industry Sectors
Pharma
Materials & Steel
Automotive
Biotechnology
Finance, Business & Banking
Consumer Packaged Goods
Energy, Utilities & Environment
Oil, Gas & Geosciences
Engineering