Handbook of Recent Advances in Commodity and Financial Modeling

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.

Acest manual include contributii legate de probleme de optimizare, de stabilire a preturilor si de evaluare, de modelare a riscurilor si de probleme de luare a deciziilor aparute pe pietele financiare si de marfuri globale din perspectiva cercetarii operationale si a stiintei managementului. Cartea este structurata in trei parti, subliniind abordarile metodologice comune care apar in domeniile de interes: - Partea I: Tehnici de optimizare - Partea II: Preturi si evaluare - Partea III: Modelarea riscurilor Cartea prezinta unei selectii largi de academicieni si practicieni o selectie a contributiilor teoretice si aplicate pe teme care au atras recent un interes tot mai mare pentru pietele marfurilor si financiare.