In the Footsteps of Giorgio Philip Szegö: His Scientific Contributions, Life, and Legacy (International Series in Operations Research & Management Science, 346)

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. Preface Contents Chapter 1: Life and Deeds Reference Chapter 2: His Scientific Contribution 2.1 Theory of Stability and Global Optimization By Francesco Archetti 2.2 Quantitative Economics and Portfolio Theory By Giovanni Zambruno 2.3 Financial Regulation and Risk Measures By Giorgio Consigli Chapter 3: His Own Words 3.1 Preface and Digressions 3.2 The Electrical Engineering Job 3.3 My job in the US 3.4 Back to Italy 3.5 Toward the Professorship 3.6 IMF and the Oil 3.7 SPQR 3.8 Il Tempo 3.9 Questions and Projects Chapter 4: Selected Papers 4.1 ``On a New Partial Differential Equation for the Stability Analysis of Time-Invariant Control Systems. ́ ́ Journal of SIAM C... 4.2 ``Bank Asset Management and Financial Insurance. ́ ́ Journal of Banking and Finance, Vol. 10, 1986 4.3 ``The Role of Capital in Financial Institutions, ́ ́ Journal of Banking and Finance, Vol. 19, 1995 4.4 ``Risk-Based Capital in the European Economic Community. ́ ́ Journal of Banking and Finance, Vol. 19, 1995 4.5 ``Measures of Risks. ́ ́ Journal of Banking and Finance, Vol. 26, 2002 4.6 ``Crash 08: A Regulatory Debacle to be Mended. ́ ́ Special Paper #189 LSE Financial Market Group Paper Series, 2010 4.7 ``Causes of the Economic Crisis: Can the Flap of a Butterfly Wing in Brazil Destroy the Coliseum After 30 Years? ́ ́ Journal... 4.8 ``On the (Non) Acceptance of Innovations ́ ́ in Risk Measures for the 21st Century. Wiley 2005 Chapter 5: In Our Hearts 5.1 His Academic Pupils 5.2 His Students Chapter 6: Some Snapshots References Books Selected Papers