Handbook of Recent Advances in Commodity and Financial Modeling

Recent liberalization processes in commodity and energy markets resulted in a fruitful and rich methodological spreading into a wider global market area of techniques and quantitative approaches previously proposed in financial markets. At the same time the increasing volatility of international prices in recent years and the introduction of regulatory frameworks on banking and insurance institutions have enhanced the research on risk theory and risk management inducing new, particularly relevant theoretical developments. This new book is planned to elaborate on such evidence and include 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. Energy markets will deserve an important role among commodity markets given their recent unprecedented growth. The proposed volume will be structured in three parts, emphasizing common methodological approaches arising in the areas of interest:- Part I: Risk Modeling - Part II: Pricing and Valuation - Part III: Optimization techniques. An extended introduction by the Editors will provide a comprehensive overview of the contributions and the rationale of the proposed Table of Contents. The book is conceived to present 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. It will present recent state-of-the-art and original works related to:- The adoption of multi-criteria and dynamic optimization approaches in financial and insurance markets;- 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 as well as agricultural and commodity derivatives. All the above represent key elements of recent developments in financial and commodity markets that have not been previously considered by the OR community in great detail, and we believe that the volume will provide a relevant collection of contributions, certainly needed by the scientific as well as industry communities.