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Handbook of Recent Advances in Commodity and Financial Modeling = Quantitative Methods in Banking, Finance, Insurance, Energy and Commodity Markets /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Handbook of Recent Advances in Commodity and Financial Modeling/ edited by Giorgio Consigli, Silvana Stefani, Giovanni Zambruno.
其他題名:	Quantitative Methods in Banking, Finance, Insurance, Energy and Commodity Markets /
其他作者:	Consigli, Giorgio.
面頁冊數:	XIV, 320 p. 65 illus., 59 illus. in color.online resource. :
Contained By:	Springer Nature eBook
標題:	Operations research. -
電子資源:	https://doi.org/10.1007/978-3-319-61320-8
ISBN:	9783319613208

Handbook of Recent Advances in Commodity and Financial Modeling = Quantitative Methods in Banking, Finance, Insurance, Energy and Commodity Markets /
Handbook of Recent Advances in Commodity and Financial ModelingQuantitative Methods in Banking, Finance, Insurance, Energy and Commodity Markets /[electronic resource] :edited by Giorgio Consigli, Silvana Stefani, Giovanni Zambruno. - 1st ed. 2018. - XIV, 320 p. 65 illus., 59 illus. in color.online resource. - International Series in Operations Research & Management Science,2570884-8289 ;. - International Series in Operations Research & Management Science,227.

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.

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.

ISBN: 9783319613208

Standard No.: 10.1007/978-3-319-61320-8doiSubjects--Topical Terms:

573517
Operations research.

LC Class. No.: HD30.23

Dewey Class. No.: 658.40301

Handbook of Recent Advances in Commodity and Financial Modeling = Quantitative Methods in Banking, Finance, Insurance, Energy and Commodity Markets /
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