Stochastic optimization methods in finance and energy: new financial products and energy market strategies

This volume presents a collection of contributions dedicated to applied problems in the financial and energy sectors that have been formulated and solved in a stochastic optimization framework. The invited authors represent a group of scientists and practitioners, who cooperated in recent years to facilitate the growing penetration of stochastic programming techniques in real-world applications, inducing a significant advance over a large spectrum of complex decision problems. After the recent widespread liberalization of the energy sectorin Europe and the unprecedented growth of energy prices in international commodity markets, we have witnessed a significant convergence of strategic decision problems in the energy and financial sectors. This has often resulted in common open issues and has induced a remarkable effort by the industrial and scientific communities to facilitate the adoption of advanced analytical and decision tools. The main concerns of the financial community over the last decade have suddenly penetrated the energy sector inducing a remarkable scientific and practical effort to address previously unforeseeable management problems. Stochastic Optimization Methods in Finance and Energy: New Financial Products and Energy Markets Strategies aims to include in a unified framework for the first time an extensive set of contributions related to real-world applied problems in finance and energy, leading to a common methodological approach and in many cases having similar underlying economic and financial implications. Part 1 of the book presents 6 chapters related to financial applications; Part 2 presents 7 chapters on energy applications; and Part 3 presents 5 chapters devoted to specific theoretical and computational issues. First collection of real-world case studies formulated and solved as multistage stochastic programs in both the energy and financial sectors. Extended analysis of new financial products and related dynamic optimization problems for institutional investors such as pension funds and insurance companies. Editors and contributors are leaders in the field. INDICE: Using the Kelly Criterion for Investing. Designing Minimum Guaranteed Return Funds. Performance Enhancements for Defined Benefit Pension Plans. Hedging Market and Credit Risk in Corporate Bond Portfolios. Dynamic PortfolioManagement for Property and Casualty Insurance. Pricing Reinsurance Contracts. A Nonlinear Decision Support Model for Weekly Operation of Hydrothermal Systems. Hedging the Portfolio of a Hydro-energy Producer. Short-term Trading for Electricity Producers. Structuring Bilateral Energy Contract Portfolios in Competitive Markets. Tactical Portfolio Planning in the Natural Gas Supply Chain.Risk Management with Stochastic Dominance Models in Energy Systems with Dispersed Generation. Stochastic Equilibrium Models for Power Generation Capacity Expansion. Scenario Tree Generation for Multi-Stage Stochastic Programs. Scenario Generation for Stochastic Optimization Problems. Comparison of Sampling Methods for Dynamic Stochastic Programming. Convexity of Chance Constraints with Copula Dependent Random Variables. Portfolio Choice Models based on Second-Order Stochastic Dominance Measures.

• ISBN: 978-1-4419-9585-8
• Editorial: Springer New York
• Encuadernacion: Cartoné
• Páginas: 508
• Fecha Publicación: 29/08/2011
• Nº Volúmenes: 1
• Idioma: Inglés