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Financial and miliary applications
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Stanislav Uryasev
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Dr. Stan Uryasevīs background and research interests can be broadly characterized as decision making in applications involving uncertainties. His research is mostly focused on stochastic optimization and risk management approaches in finance and military applications. He is leading several new fundamental directions in the area of risk management, including the development of Conditional Value-at-Risk (CVaR) methodology. This is based on new mathematical results which, through linear programming techniques, make practical many large-scale calculations that would otherwise be impossible. The numerical efficiency and stability of such calculations are shown in several important finance and military applications such as portfolio optimization and targeting/routing of aircrafts in risky environments. Dr. Uryasev is the organizer and director of the Risk Management and Financial Engineering (RMFE) Lab (www.ise.ufl.edu/rmfe) which facilitates research and applications in the areas of risk management, financial engineering, and mathematics; provides access to the state-of-the-art software; and supports the interdepartmental Quantitative Finance Ph.D. program at the University of Florida.
Current research includes applications of risk management theory and methods to problems in nuclear reactor safety, energy management, medical insurance, agricultural planning, and environmental pollution. Financial engineering applications include analysis of new risk measures such as Conditional Value-at-Risk, credit risk, insurance pricing and resource allocation, hedging, portfolio optimization, pricing of derivative instruments, and trading algorithms.
Dr. Uryasev also chairs the interdisciplinary Ph.D. program in quantitative finance that involves the departments of Industrial & Systems Engineering, Mathematics, Statistics and Finance, Insurance, and Real Estate. The pooled resources of these departments attract Ph.D. students looking for disciplines related to risk management and quantitative finance.
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