Stochastic Optimization Methods in Finance and Energy

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 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 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. This proposal 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.

During the spring and the summer of 2007 the School of Stochastic Programming held in Bergamo (www.unibg.it/sps2007), and the eleventh symposium on Stochastic Programming in Vienna (http: //www.univie.ac.at/spxi), offered two venues for the presentation of the chapters included in the volume. After the two events, during the fall of 2007, all the invited contributors enthusiastically accepted the invitation to present their original work in the projected volume, from which this proposal was developed.

The volume is structured in three parts, devoted to contributions related to financial applications - Part I, with 7 chapters; energy applications - Part II, with 8 chapters; and to specific theoretical and computational issues - Part III, with 6 chapters -- recently developed in the scientific community and explicitly related to the applied problems presented.