Optimal Financial Decision Making under Uncertainty, Softcover reprint of the original 1st ed. 2017 International Series in Operations Research & Management Science Series, Vol. 245
Coordonnateurs : Consigli Giorgio, Kuhn Daniel, Brandimarte Paolo
The volume features chapters of theoretical and practical relevance clarifying recent advances in the associated applied field from different standpoints, relying on similar valuation problems and, as mentioned, facilitating a mutual and beneficial methodological and theoretical knowledge transfer. The distinctive aspects of the volume can be summarized as follows:
- Strong benchmarking philosophy, with contributors explicitly asked to underline current limits and desirable developments in their areas.
- Theoretical contributions, aimed at advancing the state-of-the-art in the given domain with a clear potential for applications
- The inclusion of an algorithmic-computational discussion of issues arising on similar valuation problems across different methods.
- Variety of applications: rarely is it possible within a single volume to consider and analyze different, and possibly competing, alternative optimization techniques applied to well-identified financial valuation problems.
- Clear definition of the current state-of-the-art in each methodological and applied area to facilitate future research directions.
Giorgio Consigli is currently professor of applied mathematics in economics and finance at the University of Bergamo. Dr. Consigli is Coordinator of the Stochastic Programming technical section within the Italian OR society and Board Member of the European Working Groups of Stochastic Programming and Commodity and Financial Modelling within the European OR society. He is Research Fellow of the School of Mathematical Studies of the University of Cambridge (UK) and the UK Institute of Mathematics and Applications (FIMA).
He holds an honours degree in Economics at the University La Sapienza in Rome, a Diploma in Financial intermediation in the same University and a PhD in mathematics at the University of Essex in the UK.
Dr. Consigli has a substantial cooperation and R&D record with the insurance and financial industry in Italy and Internationally on the development of advanced tools for risk management and asset-liability management. Throughout the years he maintained an active cooperation with the academic and scientific communities specifically in the areas of stochastic optimization, financial modelling, risk modelling and static and dynamic portfolio selection. He is associate editor of the J of Management Mathematics (OUP), the J of Computational Management Science (Springer), the J of Financial Engineering and Risk Management (Inderscience), Quantitative Finance Letters (Taylor and Francis).
Daniel Kuhn holds the Chair of Risk Analytics and Optimization at EPFL. Before joining EPFL, he was a faculty member at Imperial College London (2007-2013) and a postdoctoral researcher at Stanford University (2005-2006). He received a PhD in Economics from the University of St. Gallen in 2004 and an MSc in Theoretical Physics from ETH Zurich in 1999. His research interests revolve around robust optimization and stochastic programming.
Paolo Brandimarte is full professor of quantitative methods at the Department of Mathemati
First collection of state-of-the-art financial optimization theoretical research
Excellent springboard for all future research
Editors and contributors are leaders in the field
Date de parution : 10-2016
Ouvrage de 298 p.
15.5x23.5 cm
Date de parution : 04-2018
Ouvrage de 298 p.
15.5x23.5 cm
