Giorgio Consigli; Silvana Stefani; Giovanni Zambru Handbook of Recent Advances in Commodity and Financial Modeling 9783319613185

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Автор: Giorgio Consigli; Silvana Stefani; Giovanni Zambru
Название: Handbook of Recent Advances in Commodity and Financial Modeling
ISBN: 9783319613185
Издательство: Springer
Классификация:

Макроэкономика

Управление и методы управления

Исследование операций

Машиноведение

ISBN-10: 3319613189
Обложка/Формат: Hardcover
Страницы: 320
Вес: 0.64 кг.
Дата издания: 29.10.2017
Серия: International Series in Operations Research & Management Science
Язык: English
Издание: 1st ed. 2018
Иллюстрации: 55 tables, color; 59 illustrations, color; 6 illustrations, black and white; xiv, 320 p. 65 illus., 59 illus. in color.
Размер: 234 x 156 x 19
Читательская аудитория: Postgraduate, research & scholarly
Основная тема: Business and Management
Подзаголовок: Quantitative Methods in Banking, Finance, Insurance, Energy and Commodity Markets
Ссылка на Издательство: Link
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Поставляется из: Германии
Описание: 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.
Дополнительное описание: 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 vary

Handbook of Recent Advances in Commodity and Financial Modeling, Giorgio Consigli; Silvana Stefani; Giovanni Zambru