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Consigli, Giorgio

Handbook of Recent Advances in Commodity and Financial Modeling

Consigli, Giorgio - Handbook of Recent Advances in Commodity and Financial Modeling, ebook

184,50€

Ebook, PDF with Adobe DRM
ISBN: 9783319613208
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Table of contents

Part I. Risk Modeling

1. Directional Returns for Gold and Silver: A Cluster Analysis Approach
A. G. Malliaris, Mary Malliaris

2. Impact of Credit Risk and Business Cycles on Momentum Returns
Sirajum Munira Sarwar, Sharon Xiaowen Lin, Yaz Gülnur Muradoǧlu

3. Drivers of LBO Operating Performance: An Empirical Investigation in Asia
Aurélie Sannajust, Alain Chevalier

4. Time Varying Correlation: A Key Indicator in Finance
Rita L. D’Ecclesia, Denis Kondi

5. Measuring Model Risk in the European Energy Exchange

Angelica Gianfreda, Giacomo Scandolo

Part II. Pricing and Valuation

6. Wine Futures: Pricing and Allocation as Levers Against Quality Uncertainty
Tim Noparumpa, Burak Kazaz, Scott Webster

7. VIX Computation Based on Affine Stochastic Volatility Models in Discrete Time
A. Hitaj, L. Mercuri, E. Rroji

8. Optimal Adaptive Sequential Calibration of Option Models
Erik Lindström, Carl Åkerlindh

9. Accurate Pricing of Swaptions via Lower Bound
Anna Maria Gambaro, Ruggero Caldana, Gianluca Fusai

Part III. Optimization Techniques

10. Portfolio Optimization Using Modified Herfindahl Constraint
Asmerilda Hitaj, Giovanni Zambruno

11. Dynamic Asset Allocation with Default and Systemic Risks
Alessandro Sbuelz

12. Optimal Execution Strategy in Liquidity Framework Under Exponential Temporary Market Impact
Chiara Benazzoli, Luca Di Persio

13. Optimal Multistage Defined-Benefit Pension Fund Management
Giorgio Consigli, Vittorio Moriggia, Elena Benincasa, Giacomo Landoni, Filomena Petronio, Sebastiano Vitali, Massimo di Tria, Mario Skoric, Angelo Uristani

14. Currency Hedging for a Multi-national Firm
Markku Kallio, Matti Koivu, Rudan Wang

Keywords: Business and Management, Operations Research/Decision Theory, Macroeconomics/Monetary Economics//Financial Economics, Operations Research, Management Science

Editor
 
 
Publisher
Springer
Publication year
2018
Language
en
Edition
1
Series
International Series in Operations Research & Management Science
Category
Economy
Format
Ebook
eISBN (PDF)
9783319613208
Printed ISBN
978-3-319-61318-5

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