Titlebook: Handbook of Recent Advances in Commodity and Financial Modeling; Quantitative Methods Giorgio Consigli,Silvana Stefani,Giovanni Zambruno Bo

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Currency Hedging for a Multi-national Firmeveral major currencies, our pilot model deals with US$ and €?only. Equilibrium correction models, Taylor rule based models and a random walk model are compared for exchange rate prediction. Risks related to exchange rate and sales forecast errors are hedged. Numerical results indicate that the curr

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0884-8289 ment.Editors and contributors are leaders in the field.This handbook includes contributions related to optimization, pricing and valuation problems, risk modeling and decision making problems arising in global financial and commodity markets from the perspective of Operations Research and Management

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Directional Returns for Gold and Silver: A Cluster Analysis Approachf silver; the second strategy shows that predicting up for gold also means predicting down for silver and the final strategy confirms that predicting up for silver also validates predicting down for gold.

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Measuring , in the ,onfirm that the increasing complexity of energy markets has affected the stochastic nature of electricity prices which have become progressively less normal through years, hence resulting in an increased ..

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Optimal Adaptive Sequential Calibration of Option Modelsns in the model parameters well. The likelihood framework is also used for model selection where we find support for both complex option models as well as non-trivial adaptivity. This is made feasible with the optimal tuning presented in this chapter.

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VIX Computation Based on Affine Stochastic Volatility Models in Discrete Time-analytical formula for option prices as in Heston and Nandi (Rev Financ Stud 13(3):585–625, 2000). Second, we reproduce some features of the VIX Index. Finally, we derive a simple formula for the VIX index and use it for option pricing.

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Dynamic Asset Allocation with Default and Systemic Risks Uppal (J Financ 59:2809–2834, 2004) by introducing default risk and its investment-horizon effects on optimal portfolios (the optimal investment rules in Das and Uppal (J Financ 59:2809–2834, 2004) are time-invariant) and by linking excess expected returns to risk exposures.

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