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

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

Autorentext
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.
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*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.

Inhalt

Part 1. Risk Modeling.- 1. Directional Returns for Gold and Silver: A Cluster Analysis Approach.- 2. Impact of Credit Risk and Business Cycles on Momentum Returns.- 3. Drivers of LBO Operating Performance: An Empirical Investigation in Asia.- 4. Time varying Correlation: Key Indicator in Finance.- 5. Measuring Model Risk in the European Energy Exchange.- 6. Wine Futures: Pricing and Allocation as Levers against Quality Uncertainty.- 7. VIX Computation Based on Affine Stochastic Volatility Models in Discrete Time.- 8. Optimal Adaptive Sequential Calibration of Option Models.- 9. Accurate Pricing of Swaptions via Lower Bound.- 10. Portfolio Optimization Using Modied Herfindahl Constraint.- 11. Dynamic Asset Allocation with Default and Systemic Risks.- 12. Optimal Execution Strategy in Liquidity Framework Under Exponential Temporary Market Impact.- 13. Optimal Multistage Dened-benet Pension Fund Management.- 14. Currency Hedging for a Multi-national Firm.