Stochastic Optimization Methods in Finance and Energy New Financial
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 pract
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Volume 163
Series Editor: Frederick S. Hillier Stanford University, CA, USA
Special Editorial Consultant: Camille C. Price Stephen F. Austin State University, TX, USA This book was recommended by Dr. Price
For further volumes: http://www.springer.com/series/6161
Marida Bertocchi · Giorgio Consigli · Michael A.H. Dempster Editors
Stochastic Optimization Methods in Finance and Energy New Financial Products and Energy Market Strategies
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Editors Marida Bertocchi University of Bergamo Department of Mathematics, Statistics, Computer Science and Applications Via dei Caniana, 2 24127 Bergamo Italy [email protected]
Giorgio Consigli University of Bergamo Department of Mathematics, Statistics, Computer Science and Applications Via dei Caniana, 2 24127 Bergamo Italy [email protected]
Michael A.H. Dempster University of Cambridge Dept. Pure Mathematics and Mathematical Statistics Mill Lane 16 CB2 1SB Cambridge United Kingdom [email protected]
ISSN 0884-8289 ISBN 978-1-4419-9585-8 e-ISBN 978-1-4419-9586-5 DOI 10.1007/978-1-4419-9586-5 Springer New York Dordrecht Heidelberg London Library of Congress Control Number: 2011933840 c Springer Science+Business Media, LLC 2011 All rights reserved. This work may not be translated or copied in whole or in part without the written permission of the publisher (Springer Science+Business Media, LLC, 233 Spring Street, New York, NY 10013, USA), except for brief excerpts in connection with reviews or scholarly analysis. Use in connection with any form of information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed is forbidden. The use in this publication of trade names, trademarks, service marks, and similar terms, even if they are not identified as such, is not to be taken as an expression of opinion as to whether or not they are subject to proprietary rights. Printed on acid-free paper Springer is part of Springer Science+Business Media (www.springer.com)
To Clara, Gaia, Marco and Silvia – from Marida To Adriana and Gabriele – from Giorgio To Anna and Antony – from Michael
Preface
This volume is a collection of research contributions to applied problems in finance and energy which are formulated and solved in the framework of stochastic optimization. The invited authors represent a group of academics and practitioners who have facilitated the growing penetration of stochastic programming techniques into real-world applications in recent years. Their present contributions represent significant advances over a large spectrum of complex decision problems. As a result of the recent widespread liberalization of the energy sector in 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 resulted in many common open issues, calling forth a remarkable effort by the industrial and scholarly communities to forward the practic
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