LEADER 05375nam 22006255 450 001 9910298201103321 005 20200630004558.0 010 $a3-319-61320-0 024 7 $a10.1007/978-3-319-61320-8 035 $a(CKB)4100000000587002 035 $a(DE-He213)978-3-319-61320-8 035 $a(MiAaPQ)EBC5064651 035 $a(PPN)222233338 035 $a(EXLCZ)994100000000587002 100 $a20170930d2018 u| 0 101 0 $aeng 135 $aurnn|008mamaa 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 10$aHandbook of Recent Advances in Commodity and Financial Modeling$b[electronic resource] $eQuantitative Methods in Banking, Finance, Insurance, Energy and Commodity Markets /$fedited by Giorgio Consigli, Silvana Stefani, Giovanni Zambruno 205 $a1st ed. 2018. 210 1$aCham :$cSpringer International Publishing :$cImprint: Springer,$d2018. 215 $a1 online resource (XIV, 320 p. 65 illus., 59 illus. in color.) 225 1 $aInternational Series in Operations Research & Management Science,$x0884-8289 ;$v257 311 $a3-319-61318-9 320 $aIncludes bibliographical references at the end of each chapters. 327 $aPart 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. 330 $aThis handbook includes contributions related to optimization, pricing and valuation problems, risk modeling and decision making problems arising in global financial and commodity markets from the perspective of Operations Research and Management Science. The book is structured in three parts, emphasizing common methodological approaches arising in the areas of interest: -          Part I: Optimization techniques -          Part II: Pricing and Valuation -          Part III: Risk Modeling  < The book presents to a wide community of Academics and Practitioners a selection of theoretical and applied contributions on topics that have recently attracted increasing interest in commodity and financial markets. Within a structure based on the three parts, it presents recent state-of-the-art and original works related to: -          The adoption of multi-criteria and dynamic optimization approaches in financial and insurance markets in presence of market stress and growing systemic risk; -          Decision paradigms, based on behavioral finance or factor-based, or more classical stochastic optimization techniques, applied to portfolio selection problems including new asset classes such as alternative investments; -          Risk measurement methodologies, including model risk assessment, recently applied to energy spot and future markets and new risk measures recently proposed to evaluate risk-reward trade-offs in global financial and commodity markets; and derivatives portfolio hedging and pricing methods recently put forward in the financial community in the aftermath of the global financial crisis. 410 0$aInternational Series in Operations Research & Management Science,$x0884-8289 ;$v257 606 $aOperations research 606 $aDecision making 606 $aMacroeconomics 606 $aManagement science 606 $aOperations Research/Decision Theory$3https://scigraph.springernature.com/ontologies/product-market-codes/521000 606 $aMacroeconomics/Monetary Economics//Financial Economics$3https://scigraph.springernature.com/ontologies/product-market-codes/W32000 606 $aOperations Research, Management Science$3https://scigraph.springernature.com/ontologies/product-market-codes/M26024 615 0$aOperations research. 615 0$aDecision making. 615 0$aMacroeconomics. 615 0$aManagement science. 615 14$aOperations Research/Decision Theory. 615 24$aMacroeconomics/Monetary Economics//Financial Economics. 615 24$aOperations Research, Management Science. 676 $a332.644 702 $aConsigli$b Giorgio$4edt$4http://id.loc.gov/vocabulary/relators/edt 702 $aStefani$b Silvana$4edt$4http://id.loc.gov/vocabulary/relators/edt 702 $aZambruno$b Giovanni$4edt$4http://id.loc.gov/vocabulary/relators/edt 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910298201103321 996 $aHandbook of Recent Advances in Commodity and Financial Modeling$92507039 997 $aUNINA