Handbook of Recent Advances in Commodity and Financial Modeling

Edited by Giorgio Consigli (), Silvana Stefani () and Giovanni Zambruno

in International Series in Operations Research and Management Science from Springer, currently edited by Camille C. Price, Joe Zhu and Frederick S. Hillier

Date: 2018
ISBN: 978-3-319-61320-8
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Chapters in this book:

Ch Chapter 1 Directional Returns for Gold and Silver: A Cluster Analysis Approach

A. G. Malliaris and Mary Malliaris

Ch Chapter 10 Portfolio Optimization Using Modified Herfindahl Constraint

Asmerilda Hitaj and Giovanni Zambruno

Ch Chapter 11 Dynamic Asset Allocation with Default and Systemic Risks

Alessandro Sbuelz

Ch Chapter 12 Optimal Execution Strategy in Liquidity Framework Under Exponential Temporary Market Impact

Chiara Benazzoli and Luca Di Persio

Ch Chapter 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 and Angelo Uristani

Ch Chapter 14 Currency Hedging for a Multi-national Firm

Markku Kallio, Matti Koivu and Rudan Wang

Ch Chapter 2 Impact of Credit Risk and Business Cycles on Momentum Returns

Sirajum Munira Sarwar, Sharon Xiaowen Lin and Yaz Gülnur Muradoǧlu

Ch Chapter 3 Drivers of LBO Operating Performance: An Empirical Investigation in Asia

Aurélie Sannajust and Alain Chevalier

Ch Chapter 4 Time Varying Correlation: A Key Indicator in Finance

Rita L. D’Ecclesia and Denis Kondi

Ch Chapter 5 Measuring Model Risk in the European Energy Exchange

Angelica Gianfreda and Giacomo Scandolo

Ch Chapter 6 Wine Futures: Pricing and Allocation as Levers Against Quality Uncertainty

Tim Noparumpa, Burak Kazaz and Scott Webster

Ch Chapter 7 VIX Computation Based on Affine Stochastic Volatility Models in Discrete Time

A. Hitaj, L. Mercuri and E. Rroji

Ch Chapter 8 Optimal Adaptive Sequential Calibration of Option Models

Erik Lindström and Carl Åkerlindh

Ch Chapter 9 Accurate Pricing of Swaptions via Lower Bound

Anna Maria Gambaro, Ruggero Caldana and Gianluca Fusai

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DOI: 10.1007/978-3-319-61320-8

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