Titlebook: Handbook of Recent Advances in Commodity and Financial Modeling; Quantitative Methods Giorgio Consigli,Silvana Stefani,Giovanni Zambruno Bo

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Measuring , in the ,cially in energy markets, where market participants face several kinds of risks (such as volumetric, liquidity, and operational risk). Therefore, relaxing the assumption of normality and using a wide range of alternative distributions, we quantify the . in the German wholesale electricity market (th

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VIX Computation Based on Affine Stochastic Volatility Models in Discrete Timencial series. Three desirable results are obtained. First, we have a recursive procedure for the log-price characteristic function which allows a semi-analytical formula for option prices as in Heston and Nandi (Rev Financ Stud 13(3):585–625, 2000). Second, we reproduce some features of the VIX Inde

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Slit-Lamp

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Portfolio Optimization Using Modified Herfindahl Constraintrk, 1959). Early works developed necessary conditions on utility function that would result in mean-variance theory being optimal, see Tobin (Rev Econ Stud 25(2):65–86, 1958). Recently, considering the stylized facts of asset returns, mean-variance model has been extended to higher moments. Despite

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Dynamic Asset Allocation with Default and Systemic Risks markets when such risks take the form of asset value discontinuities. I contribute to the multiple-asset jump-diffusion portfolio analysis of Das and Uppal (J Financ 59:2809–2834, 2004) by introducing default risk and its investment-horizon effects on optimal portfolios (the optimal investment rule

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Optimal Execution Strategy in Liquidity Framework Under Exponential Temporary Market Impacto as to minimize a criterion involving mean and variance of the strategies implementation shortfall. The market impact due to illiquidity is modeled by splitting it into two different component, namely the permanent market impact, which is assumed to be linear in the rate of trading, and the tempora

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Optimal Multistage Defined-Benefit Pension Fund Managementd (PF) manager. PF ALM problems are by nature long-term decision problems with stochastic elements affecting both assets and liabilities. Increasingly PFs operating in the second pillar of modern pension systems are subject to mark-to-market accounting standards and constrained to monitor their risk