In the Footsteps of Giorgio Philip Szegö

This book offers essential information on the life and career of the recently deceased Giorgio P. Szegö, particularly his important contributions in various areas of mathematical programming and applications to financial markets. It highlights the developments in the fields of stability theory and dynamical systems brought about by his work in the early 1960s and 1970s, then moves on to address his valuable contributions to portfolio theory in the late 1970s and early 1980s, and, finally, examines his work in the field of risk management and the role of financial regulation in the late 1990s. The book explores Giorgio P. Szegö's contributions in diverse research areas ranging from global optimization, theory of stability and dynamical systems to applications of financial mathematics to portfolio theory, risk measurement and financial regulation. It also covers his consulting work for such major international institutions as the IMF, World Bank and OECD.

Auteur

Rita D'Ecclesia is a Professor of Quantitative Finance at Sapienza University, Italy. She received her Ph.D. in Finance from the University of Bergamo, and her M.Phil. in Statistics from Sapienza University. She is currently the Director of the Ph.D. program in Economics and Finance and President of the Euro Working Group for Commodities and Financial Modeling. Her research interests include commodity price estimation, analysis of oil price volatility, and analysis of the correlation between energy commodities and market integration. Rosella Castellano is a Professor of Mathematical Methods in Economics, Finance, and Insurance at the University of Rome, Italy. She received her Ph.D. in Mathematics for the Analysis of Financial Markets from the University of Brescia, and her M.Phil. in Political Sciences (major in Economics) from Sapienza University, Rome. Her research interests include data analysis, operational research, dynamic optimization and stochastic calculus.

Gianfranco Gambarelli is an Emeritus Professor of Mathematics, Theory of Games and Decisions at the University of Bergamo, Italy. He served twice as Dean of the Faculty of Economics and three times as Deputy Rector of the University. His research interests include computer science, decision theory, game theory, geometry, mathematics, sport sciences, and transportation theory.

Giovanni Zambruno is an Emeritus Professor of Mathematical Finance at Università di Milano Bicocca, Italy. He received his M.Sc. in Mathematics from the University of Milan. He served as Director of the Department of Quantitative Methods for 12 years, was the Founder and Director (2000-2012) of the Ph.D. program in Mathematics for Capital Markets at the University Milano Bicocca, and is a former President of the European Finance Association.