About the Contributors
CHRIS ADCOCK
Professor of Financial Econometrics at the University of Sheffield, he is also a visiting professor of Quantitative Finance at the University of Southampton and a visiting professor at Durham Business School. Research interests are in portfolio selection, asset pricing theory and the development of quantitative techniques for portfolio management. He has acted as advisor to several international investment managers. Founding editor of The European Journal of Finance, he has been an associate editor of several finance journals and Series C and D of the Journal of the Royal Statistical Society. Current research projects are in downside risk, portfolio selection, skewness, and option returns, involving collaborations with universities in the United Kingdom, the European Union and China.
DAVID E. ALLEN
David E. Allen is an adjunct professor in the Centre for Applied Financial Studies at the University of South Australia and a visiting professor in the School of Mathematics and Statistics at the University of Sydney. He was previously professor of Finance at Edith Cowan University, Perth, Western Australia. He has a Ph.D. in Finance from the University of Western Australia, an M.Phil. in the History of Economic Thought from the University of Leicester in England, plus an M.A. in Economics from the University of St. Andrews in Scotland.
He is the author of three monographs and more than 90 refereed publications on a diverse range of topics covering corporate financial policy decisions, asset pricing, business economics, funds management and performance benchmarking, volatility modeling and hedging, and market microstructure and liquidity.
VASSILIKI BALLA
Dr. Vassiliki Balla has been a member in the Financial Engineering Laboratory of Technical University of Crete for the last five years. Her Ph.D. thesis focuses on Multicriteria Decision Aid Models for the prediction of securities class actions. She holds a first M.Sc. in Banking and Finance from Athens University of Economics and Business and a second M.Sc. in Audit and Applied Accounting from National and Kapodistrian University of Athens. She also holds a B.Sc. in Economics from University of Piraeus and a B.A. in Accounting from Technological Educational Institution of Chalkida. Her research interests are accounting and corporate governance in public as well as industrial sector.
MARIDA BERTOCCHI
Marida Bertocchi is a full professor of applied mathematics in economics and finance at the University of Bergamo. She taught numerous courses at the Universities of Bergamo, Urbino, and Milan, including basic and advanced calculus, portfolio theory, advanced mathematical finance, stochastic optimization, and parallel processing. She has been director of the Department of Mathematics, Statistics, Computer Science, and Applications at the University of Bergamo. She is scientific coordinator of the Ph.D. program in Analytics for Economics and Business. Her research interests are stochastic programming and its applications, especially to bond portfolio management, energy, and financial applications. She has been responsible for many grants from national and international sources as well as from private firms.
IAIN CLACHER
Iain Clacher is an associate professor in Accounting and Finance at Leeds University Business School and the co-director of the Retirement Savings Research Group at the International Institute of Banking and Financial Services. Iain has a B.A.(Hons) in Finance from the University of Strathclyde and a Ph.D. in Accounting from the University of Leeds. His main area of research focuses on corporate pension schemes and he has a number of papers covering pension accounting, pension plan solvency, and pension system design. His research has attracted funding from bodies, including the Actuarial Profession and the Rotman International Centre for Pensions Management. He has also published articles and book chapters in a number of other areas including corporate governance, sovereign wealth funds, financial accounting, precious metals, and intangible assets, as well as being a co-author on the European version of Fundamentals of Corporate Finance. Iain is a regular commentator on range of financial and economic issues in the media as well as being an invited speaker at a wide range of national and international conferences and events. In addition to his academic work, he also works as a consultant with previous clients including FTSE 100 companies, a large international pension fund, the NAPF, the City of London Corporation, and the Work Foundation.
JITKA DUPAČOVÁ
Jitka Dupačová is professor at the Department of Probability and Mathematical Statistics of Charles University, Prague. She is known for her results in stochastic programming and related areas of statistics and optimization, which is also the subject of her books and more than 150 published scientific papers. She has participated in applied research (water management and planning, financial management, optimization of technological processes). In consideration of her merits in the development of stochastic programming she was awarded one of twelve memorial plaques during the X. Symposium on Stochastic Programming (2004).
MARK FREEMAN
Mark Freeman is professor of Finance at Loughborough University, where he is also the co-director of the Centre for Post-Crisis Finance and Academic Leader for the University research challenge of “Secure & Resilient Societies.” He has previously held full-time academic appointments at the Universities of Bradford, Exeter and Warwick, and visiting positions at Northwestern University, the University of California, Irvine, the University of Technology, Sydney and the University of Leeds. He holds a first class undergraduate degree in mathematics from Nottingham University (1986) and a Ph.D. in finance from Warwick University (1997). His research focusses on long-term financial problems, with particular interest in the long-run investment outlook for pension funds and intergenerational discount rates. His involvement with professional organizations includes, amongst many other things, presenting his research at the World Bank and the UK Treasury and providing advice to the Financial Conduct Authority and the OECD.
HIROFUMI FUKUYAMA
Professor Hirofumi Fukuyama serves on the Faculty of Commerce at Fukuoka University. He earned a Ph.D. in Economics from Southern Illinois University–Carbondale in 1987. His research and teaching interests involve measuring efficiency and productivity change accounting for jointly produced desirable and undesirable outputs. He has published widely in journals such as Omega, European Journal of Operational Research, Journal of Productivity Analysis, and Japan and the World Economy.
ROSELLA GIACOMETTI
Rosella Giacometti is associate professor at the University of Bergamo, where she teaches Credit and Operational Risks, Mathematical Finance, and Statistics for Financial Markets. She worked for Cambridge Econometric as European Analyst and collaborated with many banks on teaching and consultancy activities. She received a Ph.D. in Mathematics applied to the analysis of Financial Markets from the University of Brescia (Italy), and an M.Sc. in Statistics and Operational Research from Essex University (UK). Her research interests are pricing of financial products, portfolio management, and credit and operational risk.
DAVID HILLIER
David Hillier is vice-dean and professor of Finance at Strathclyde Business School in the University of Strathclyde, Glasgow. He earned a Ph.D. in Finance on Corporate Insider Trading and a B.Sc.(Hons) in Mathematical Sciences. David was previously Ziff Chair in Financial Markets at the University of Leeds. His research has attracted an ANBAR citation and best paper prizes, and he has been ranked in the top 3% most prolific finance researchers in the world over the period 1958 to 2008 (Heck, 2007). He is the editor of Journal of Economics & Business and on the editorial board of a number of international journals, including Journal of International Business Studies. David is the co-author of a number of textbooks on corporate finance. His research interests are in corporate finance, corporate governance, and insider trading.
MICHAEL JACOBS JR., Ph.D., CFA
Mike is a director in PwC's risk advisory practice in risk and regulation, and has 20 years of experience in the risk-modeling practice across various risk types (credit, market, enterprise, and operational), leading projects in model development and validation using advanced econometric techniques, economic capital modeling, capital adequacy analysis, stress testing, loss forecasting, credit risk of wholesale loan portfolios, and optimizing portfolio risk measurement and management through use of advanced econometric and computational statistical modeling approaches. Just prior to joining PwC, Mike led engagements in development and validation of models for stress testing, credit and operational risk, and ALLL at Deloitte Enterprise Risk Services/Models and Methodologies. Prior to Deloitte, Mike was a senior economist and lead modeling expert in the Enterprise Risk Analysis Division of the OCC, advising senior bank examiners and policy makers on risk-modeling issues and model risk management. Prior to the OCC, Mike led the Empirical Research Group in the Risk Methodology Division at JPMorgan Chase, building models for wholesale and counterparty credit risk, as well as design of the proprietary credit capital and market VaR models.
Education: Ph.D. in Finance, June 2001, Graduate School and University Center of the City University of New York, Zicklin School of Business Program in Finance; M.A. in Economics, May 1994, State University of New York at Stony Brook, Institute for the Decision Sciences, Applied Stochastic Processes and Game Theory; B.S. in Engineering Science, December 1990, State University of New York at Stony Brook, School of Engineering and the Applied Sciences, Applied Mathematics & Statistics, Engineering Mathematics.
Publications: Journal of Fixed Income, Research in International Business and Finance, The Journal of Portfolio Management, Journal of Credit Risk, Applied Financial Economics, The Journal of Risk Finance, The Journal of Financial Transformation, Journal of Risk Management in Financial Institutions, The Journal of Risk and Financial Management, The Journal of the Risk Management Association; Books chapters: Managing and Measuring Risk: Emerging Global Standards and Regulation after the Financial Crisis (London: World Scientific Publishing Co. Pte. Ltd., London), Rethinking Risk Measurement and Reporting (London: Risk Books).
MALCOLM KEMP
Malcolm Kemp is a leading expert in risk and quantitative finance with over 30 years' experience in the financial services industry. He is currently managing director of Nematrian, a company he founded in 2009 that specializes in intellectual property development and provision of consultancy services to the financial services sector. Between 1996 and 2009, Malcolm was an executive director and head of Quantitative Research at Threadneedle Asset Management. This role included responsibility for Threadneedle's derivatives, performance measurement, risk management, liability-driven investment, and other quantitative investment activities. Prior to working at Threadneedle, Malcolm was a partner at Bacon & Woodrow in its investment consultancy practice, having joined them on graduation from Cambridge University with a first class honors degree in mathematics. Malcolm is a fellow of the Institute and Faculty of Actuaries, a Chartered Enterprise Risk Actuary, and an adjunct professor at Imperial College Business School, London (where he teaches courses in Enterprise Risk Management) and has written two books on quantitative finance, Market Consistency: Model Calibration in Imperfect Markets (2009) and Extreme Events: Robust Portfolio Construction in the Presence of Fat Tails (2011).
MILOŠ KOPA
Miloš Kopas is an assistant professor at the Department of Probability and Mathematical Statistics of Charles University in Prague. His research is focused on stochastic programming applications in finance, especially on the portfolio optimization models, including risk measuring and managing, utility theory, and stochastic dominance.
GREGORY KOUTMOS
Dr. Gregory Koutmos is the Gerald M. Levin Endowed Professor of Finance and Graduate Programes Coordinator at the Charles F. Dolan School of Business at Fairfield University in Fairfield, Connecticut. He has published extensively in the areas of financial markets volatility, equilibrium asset pricing models, fixed income securities, and risk hedging. He coedited with Dr. George Philippatos the book International Securities Volumes I & II, published by Edgar Elgar Publishing Inc., 2001. He holds a Ph.D. from the Graduate Center of the City University of New York (1990), an M.A. from City College of the City University of New York (1984), and a B.S. from the Graduate School of Business and Economic Studies (ASOEE), Athens-Greece (1980). He has been awarded with a Doctor Honoris Causa from the Hanken School of Economics, Helsinki, Finland, 2009.
RAIMUND M. KOVACEVIC
Raimund M. Kovacevic is currently a research assistant at the Department of Operations Research and Control Systems at the Technical University of Vienna, Austria. Before, he had the position of an assistant professor at the Department of Statistics and Operations Research at the University of Vienna. Previously, he worked as a consultant, project manager, and risk manager in insurance, banking, and energy management for Siemens AG Austria, Feilmeier & Junker GmbH, and Financial Soft Computing GmbH. His main research interests involve stochastic modeling and optimization with applications in risk management for finance, insurance, and energy production and trading. He has published in the International Journal of Theoretical and Applied Finance, Journal of Risk and Insurance, IMA Journal of Management Mathematics, Statistics and Risk Modeling, Operations Research Spectrum, and IIE Transactions and holds a Ph.D. in economic sciences (statistics) from the University of Vienna.
RENATA MANSINI
Renata Mansini is associate professor of Operations Research at the Department of Information Engineering of the University of Brescia. She received her M.S. degree in Business Economics at the University of Brescia (Italy) and got her Ph.D. in Computational Methods for Financial Decisions at the University of Bergamo (Italy), spending one year at the Olin Business School, Washington University in St. Louis (United States) and working as researcher in the Center for Optimization and Semantic Control at the System Science Department of the same university. She is author of more than 70 scientific papers, most of which were published in international volumes and journals such as Computers and Operations Research, Discrete Applied Mathematics, European Journal of Operational Research, IIE Transactions, INFORMS Journal on Computing, Journal of Banking&Finance, OMEGA The International Journal of Management Science, Transportation Science, and Transportation Research. Her primary research interests are models and solution algorithms for optimization problems in different application areas including finance, transportation, and procurement.
WLODZIMIERZ OGRYCZAK
Wlodzimierz Ogryczak is professor of Operations Research in the Institute of Control and Computation Engineering at the Warsaw University of Technology. Earlier he was with the Institute of Computer Science, University of Warsaw, while temporally he served as the H.P. Kizer Eminent Scholar Chair in Computer Science at Marshall University and as a visiting professor at Service de Mathématiques de la Gestion, l'Université Libre de Bruxelles and at Laboratoire d'Informatique de Paris 6 (LIP6), l'Université Pierre et Marie Curie. He received both his M.Sc. and Ph.D. in Mathematics from University of Warsaw, and D.Sc. in Computer Science from Polish Academy of Sciences. His research interests are focused on models, computer solutions, and applications in the area of optimization and decision support. He has published in many international journals, including European Journal of Operational Research, Annals of Operations Research, Mathematical Programming, SIAM Journal on Optimization, Computational Optimization and Applications, OMEGA The International Journal of Management Science, and Control and Cybernetics, among others.
Research conducted by W. Ogryczak was supported by the National Science Centre (Poland) under grant DEC-2012/07/B/HS4/03076.
GEORG CH. PFLUG
Georg Pflug studied Law (Mag. iur, 1974) and Mathematics and Statistics (Ph.D., 1976) at the University of Vienna. He was professor at the University of Giessen, Germany, and since 1989 has been full professor at the University of Vienna and head of the Computational Risk Management Group. He was dean of the faculty of Business, Economics and Statistics (2008–2010). He is also part-time research scholar at the International Institute of Applied Systems Analysis, Laxenburg, Austria.
Pflug is author of four books: Stochastic Approximation and Optimization of Random Systems (CA: H. Walk and L. Ljung, Birkhäuser, 1992); Optimization of Stochastic Models, Kluwer, 1996); Modeling, Measuring and Managing Risk (CA: W. Roemisch, World Scientific, 2007); Multistage Stochastic Optimization (CA: A. Pichler, New York: Springer, 2014); and of over 70 scientific papers in refereed journals.
Pflug's interests include stochastic modeling, stochastic optimization, measuring and managing of risks, and applications in finance, energy, pension funds, and insurance.
ROBERT J. POWELL
Robert J. Powell is an associate professor at the School of Business, Edith Cowan University. He has 20 years banking experience in South Africa, New Zealand, and Australia. He has been involved in the development and implementation of several credit and financial analysis models in banks. He has an honors degree in commerce from Rhodes University, an M.Com. from the University of South Africa and a Ph.D. in finance from Edith Cowan University. He has published several journal articles and book chapters on value at risk, conditional value at risk, credit risk, and hedge fund regulation.
HORST D. SIMON
Horst D. Simon is Berkeley Lab's deputy director. He holds a Ph.D. in Mathematics from the University of California, Berkeley.
ABHAY K. SINGH
Abhay K. Singh is a Post-Doctoral Research Fellow at the School of Business, Edith Cowan University. He is a Btech graduate with an MBA in finance from the Indian Institute of Information Technology, Gwalior, India, and has a Ph.D. in finance from Edith Cowan University in Western Australia.
JUNG HEON SONG
Jung Heon Song graduated from University of California, Berkeley, with a B.A. in Applied Mathematics. He is currently an affiliate at Lawrence Berkeley National Lab's Scientific Data Management group.
M. GRAZIA SPERANZA
M. Grazia Speranza is full professor of Operations Research at the Department of Economics and Management of the University of Brescia. She is currently president of the Transportation Science and Logistics Society of INFORMS.
She is author of about 150 papers that appeared in international journals and volumes. She is editor of international journals such as Transportation Science, EURO Journal on Transportation and Logistics, International Transactions in Operational Research, and TOP. She is editor-in-chief of the series Advanced Tutorials in Operational Research. She has given seminars at numerous universities and has been spoken at several international conferences and international schools. She organized international conferences and was a member of the Scientific Committee or of the Program Committee of several international conferences.
MARIA TERESA VESPUCCI
Maria Teresa Vespucci is associate professor of operations research at the University of Bergamo, Italy. She received the Ph.D. degree in numerical optimization from the University of Hertfordshire, United Kingdom. Her research interests include linear algebra, numerical optimization, mathematical programming, and stochastic programming, with applications to operations, planning, and economics of electric energy systems. She is coordinator of many grants from the electric power sector.
WILLIAM L. WEBER
William L. Weber is professor of Economics in the Department of Economics and Finance at Southeast Missouri State University. He earned a Ph.D. in Economics from Southern Illinois University–Carbondale in 1986. He teaches classes in environmental economics, econometrics, and financial institutions management. His research interests include using distance functions to measure the efficiency and productivity change of producers such as banks and other financial institutions, vineyards, primary and secondary schools, and universities. He has published papers in journals such as Review of Economics and Statistics, European Journal of Operational Research, Journal of Econometrics, and Management Science. His book Production, Growth, and the Environment: An Economic Approach was published in 2014 by The CRC Press.
KESHENG WU
Kesheng Wu is a staff computer scientist at Lawrence Berkeley National Lab. He holds a Ph.D. in Computer Science from University of Minnesota, Twin Cities.
QI ZHANG
Qi Zhang is an associate professor in Finance in the Accounting and Finance Division at Leeds University Business School. He gained his B.A. and M.A. in Economics from the School of Economics and Management at Tsinghua University, China. His Ph.D. was awarded by Leeds University Business School.
Qi is a member of European Finance Associate and American Accounting Associate. Qi's research interests are in the areas of financial reporting and price discovery, financial econometrics, financial market anomalies, and banking and emerging markets. He has had papers published in the Journal of Accounting and Economics, the Journal of Forecasting, and the Journal of Banking and Finance.
WILLIAM T. ZIEMBA
Dr. William T. Ziemba is the Alumni Professor (Emeritus) of Financial Modeling and Stochastic Optimization in the Sauder School of Business, University of British Columbia, where he taught from 1968–2006. His Ph.D. is from the University of California, Berkeley. He currently teaches part time and makes short research visits at various universities. Recently, he is the distinguished visiting research associate, Systemic Risk Centre, London School of Economics.
He has been a visiting professor at Cambridge, Oxford, London School of Economics, University of Reading and Warwick in the United Kingdom; Stanford, UCLA, Berkeley, MIT, Universities of Washington and Chicago in the United States; Universities of Bergamo, Venice, and Luiss in Italy; the Universities of Zurich (Cyprus), Tsukuba (Japan), and KAIST (Korea); and the National University and the National Technological University of Singapore.
He has been a consultant to a number of leading financial institutions, including the Frank Russell Company, Morgan Stanley, Buchanan Partners, RAB Hedge Funds, Gordon Capital, Matcap, Ketchum Trading and, in the gambling area, to the BC Lotto Corporation, SCA Insurance, Singapore Pools, Canadian Sports Pool, Keeneland Racetrack, and some racetrack syndicates in Hong Kong, Manila, and Australia. His research is in asset-liability management, portfolio theory and practice, security market imperfections, Japanese and Asian financial markets, hedge fund strategies, risk management, sports and lottery investments, and applied stochastic programming. His co-written practitioner paper on the Russell-Yasuda model won second prize in the 1993 Edelman Practice of Management Science Competition. He has been a futures and equity trader and hedge fund and investment manager since 1983.
He has published widely in journals such as Operations Research, Management Science, Mathematics of OR, Mathematical Programming, American Economic Review, Journal of Economic Perspectives, Journal of Finance, Journal of Economic Dynamics and Control, JFQA, Quantitative Finance, Journal of Portfolio Management and Journal of Banking and Finance, and in many books and special journal issues.
Recent books include Applications of Stochastic Programming with S. W. Wallace, SIAM-MPS, 2005; Stochastic Optimization Models in Finance, 2nd edition with R.G. Vickson (World Scientific, 2006); and Handbook of Asset and Liability Modeling, Volume 1: Theory and Methodology and Volume 2: Applications and Case Studies with S. A. Zenios (North Holland, 2006, 2007); Scenarios for Risk Management and Global Investment Strategies with Rachel Ziemba (John Wiley & Sons, 2007); Handbook of Investments: Sports and Lottery Betting Markets, with Donald Hausch (North Holland, 2008); Optimizing the Aging, Retirement and Pensions Dilemma with Marida Bertocchi and Sandra Schwartz (Wiley Finance, 2010); The Kelly Capital Growth Investment Criterion, 2010, with legendary hedge fund trader Edward Thorp and Leonard MacLean (World Scientific, 2010); Calendar Anomalies and Arbitrage, The Handbook of Financial Decision Making with Leonard MacLean; and Stochastic Programming with Horand Gassman (World Scientific, 2012, 2013). In progress in 2014 are Handbooks on the Economics of Wine (with O. Ashenfelter, O. Gergaud, and K. Storchmann) and Futures (with T. Mallaris).
He is the series editor for North Holland's Handbooks in Finance, World Scientific Handbooks in Financial Economics and Books in Finance, and previously was the CORS editor of INFOR and the department of finance editor of Management Science, 1982–1992. He has continued his columns in Wilmott and his 2013 book with Rachel Ziemba have the 2007–2013 columns updated with new material published by World Scientific. Ziemba, along with Hausch, wrote the famous Beat the Racetrack (1984), which was revised into Dr Z's Beat the Racetrack (1987) and presented their place and show betting system, and the Efficiency of Racetrack Betting Markets (1994, 2008)—the so-called bible of racetrack syndicates. Their 1986 book Betting at the Racetrack extends this efficient/inefficient market approach to simple exotic bets. Ziemba revised BATR into Exotic Betting at the Racetrack (World Scientific, 2014), which adds Pick 3,4,5,6, etc. and provides other updates.
CONSTANTIN ZOPOUNIDIS
Constantin Zopounidis is professor of Financial Engineering and Operations Research at Technical University of Crete (Greece), distinguished research professor in Audencia Nantes, School of Management (France), and senior academician of both the Royal Academy of Doctors and the Royal Academy of Economics and Financial Sciences of Spain. He is editor-in-chief of Operational Research: An International Journal (Springer), International Journal of Multicriteria Decision Making (Inderscience), The International Journal of Financial Engineering and Risk Management (Inderscience), The Journal of Computational Optimization in Economics and Finance (Nova Publishers), and The International Journal of Corporate Finance and Accounting (IGI Global). He is also associate editor in international transactions in Operational Research (Wiley), New Mathematics and Natural Computation (World Scientific), Optimization Letters (Springer), International Journal of Banking, Accounting and Finance (Inderscience), International Journal of Data Analysis Techniques and Strategies (Inderscience), and the European Journal of Operational Research (Elsevier). He also has served as president since early 2012 of the Financial Engineering and Banking Society (FEBS).
In recognition of his scientific work, he has received several awards from international research societies. In 1996, he received the Gold Medal and Diploma of Social and Human Sciences from the MOISIL International Foundation for his research in multicriteria intelligent decision support systems and their applications in financial management. In 2000, he received the Best Interdisciplinary Research Paper Award from the Decision Sciences Institute, and in 2010, he received the highly commended paper award from the Emerald Literati Network. The European Journal of Operational Research has awarded him the Best Reviewer Award in 2010 and the Certificate of Excellence in Reviewing in 2012. Also, in 2012, he was the recipient of the Long-lasting Research Contribution Award in the field of Financial Engineering & Decision Making by ESCP Europe. In 2013, he received the Edgeworth-Pareto prestigious Award from the International Society of Multicriteria Decision Making.
He has edited and authored 75 books in international publishers and more than 450 research papers in scientific journals, edited volumes, conference proceedings, and encyclopedias in the areas of finance, accounting, operations research, and management science.
He is a frequent invited speaker in international conferences, and he has given several invited lectures as visiting professor in many European universities.