Handbook of recent advances in commodity and financial modeling: quantitative methods in banking, finance, insurance, energy and commodity markets.

Abstract

A widespread liberalization process in commodity and energy markets has led over the last 15 years or so to a fruitful and rich methodological spreading of techniques and quantitative approaches previously proposed in financial markets into a wider global market area. At the same time, the increasing volatility of international prices and the introduction of regulatory frameworks on banking and insurance institutions enhanced the research on risk theory and risk management inducing new, practically relevant, theoretical developments. This handbook, at the time it was proposed to Springer, aimed at elaborating on such evidence to include contributions related to optimization, pricing and valuation problems, risk modeling, and decision-making problems arising in nowadays global financial and commodity markets from the perspective of operations research and management science. The volume is structured in three parts, emphasizing common methodological approaches arising in the areas of interest: 1. Risk modeling 2. Pricing and valuation 3. Optimization techniques Our original aspiration, as volume editors, was to collect within such structure a comprehensive set of recent state-of-the-art and original works addressing a variety of management and valuation problems arising in modern financial and commodity markets, such as: • Risk measurement methodologies, including model risk assessment, currently 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. • Decision paradigms, in the framework of behavioral finance or factor-based or more classical stochastic optimization techniques, applied to portfolio selection problems including new asset classes such as alternative investments. • Derivative portfolio hedging and pricing methods recently put forward in the professional community in the presence of increasing instability in financial as well as commodity markets. • The adoption of multi-criteria and dynamic optimization approaches in financial and insurance markets in the presence of market stress and growing systemic risk.