Optimal Financial Decision Making under Uncertainty
The scope of this volume is primarily to analyze from different methodological perspectives similar valuation and optimization problems arising in financial applications, aimed at facilitating a theoretical and computational integration between meth
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Giorgio Consigli Daniel Kuhn Paolo Brandimarte Editors
Optimal Financial Decision Making under Uncertainty
International Series in Operations Research & Management Science Volume 245
Series Editor Camille C. Price Stephen F. Austin State University, TX, USA Associate Series Editor Joe Zhu Worcester Polytechnic Institute, MA, USA Founding Series Editor Frederick S. Hillier Stanford University, CA, USA
More information about this series at http://www.springer.com/series/6161
Giorgio Consigli • Daniel Kuhn • Paolo Brandimarte Editors
Optimal Financial Decision Making under Uncertainty
123
Editors Giorgio Consigli University of Bergamo Bergamo, Italy
Daniel Kuhn EPFL Lausanne, CH
Paolo Brandimarte Politecnico di Torino Torino, Italy
ISSN 0884-8289 ISSN 2214-7934 (electronic) International Series in Operations Research & Management Science ISBN 978-3-319-41611-3 ISBN 978-3-319-41613-7 (eBook) DOI 10.1007/978-3-319-41613-7 Library of Congress Control Number: 2016955942 © Springer International Publishing Switzerland 2017 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. The publisher, the authors and the editors are safe to assume that the advice and information in this book are believed to be true and accurate at the date of publication. Neither the publisher nor the authors or the editors give a warranty, express or implied, with respect to the material contained herein or for any errors or omissions that may have been made. Printed on acid-free paper This Springer imprint is published by Springer Nature The registered company is Springer International Publishing AG The registered company address is: Gewerbestrasse 11, 6330 Cham, Switzerland
I would like to dedicate the book to my wife Barbara. .Daniel Kuhn/ I would like to dedicate my work to my son Gabriele. .Giorgio Consigli/
Preface
This volume includes chapters by several distinguished colleagues addressing different financial management and valuation problems arising in modern financial markets. When this volume was first conceived, it was motivated by an increasing heterogeneity of mathematical and methodological approaches applied to often rather similar financial optimization problems. In proposing this project to Springer, we aimed at facilitating, when appropriate, a theoretical and computational integration of those methods. To provide a relatively focused
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