Stochastic Optimization Methods in Finance and Energy

Giorgio Consigli is an Associate Professor, Department of Mathematics, Statistics and Computer Science at the University of Bergamo, Italy. He has been Director the University’s FinMonitor Research Centre since 2006, and was elected Member of the International Commission on Stochastic Programming (COSP) in 2007. He received his undergraduate degree in Economics (Honors) at the University of Rome, La Sapienza, where he also earned his MS in Banking, and earned his Ph.D. in Mathematics at Cambridge University, where he was supervised by M.A.H. Dempster. Marida Bertocchi has been a Full Professor in Financial Mathematics at University of Bergamo since 1992. She was Dean of the Faculty of Economics and Business Administration from November 1996 to October 2002 and scientific coordinator of the PhD program in "Computational Methods for Economic and Financial Forecasting and Decision Making" since 1992. She acted as a member of the accreditation committee for the Government of Cyprus. She was referee in the EEC Vth framework and she is currently referee for the EEC VIth framework. Michael A. H. Dempster is Professor Emeritus at the Statistical Laboratory, Centre for Mathematical Sciences, Cambridge University. He earned an MA at Oxford University and an MS and Ph.D. at Carnegie Mellon University, and founded the Centre for Financial Research at the Judge Business School at Cambridge. He is currently Managing Director of Cambridge Systems Associates, Ltd., a financial services consultancy. He is author, editor, or translator of 11 books, including the now out of print Large-Scale Linear Programming with George B. Dantzig and Markku Kallio (1981).

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 Portfolio Management 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.