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.
General
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