Stan Uryasev
Professor,
Ph.D. , Department of Industrial and Systems Engineering,
University of Florida
Director
of the Risk Management
and Financial Engineering (RMFE) Lab
303 Weil Hall, PO Box 116595, University of Florida,
Gainesville, FL 32611-6595
Tel: (352) 392-1464 x 2023; Fax: (352) 392-3537; E-mail: Uryasev at ufl.edu
Research is focused, mostly on Financial
Engineering applications (portfolio optimization, asset and liability
management (ALM), trading strategies, credit cards scoring, credit rating,
derivatives pricing), Structured Finance (collateralized debt obligation (CDO),
convertible bonds, mortgage backed securities), Risk Management (optimization
of tail risk, Value-at-Risk (VaR), Conditional Value-at-Risk (CVaR), Expected
Shortfall, Credit Risk, Drawdown, option pricing) and military
applications.
Teaching
EIN 6357: Advanced
Engineering Economy (Spring 2008); EIN 6912:
Introduction to Stochastic Optimization
EIN 4354:
Engineering Economics; EIN 4905: Introduction to Financial Engineering:
Honors Section
Consultant to American Optimal Decisions, Inc. (AOrDa.com)
The AOrDa.com decision support tool Portfolio Safeguard can minimize VaR, CVaR (Expected Shortfall), Default Probability, Omega,
Drawdown, and other tail risk functions. Portfolio Safeguard can solve
challenging quantitative finance problems, such as, minimization of credit
risk, portfolio replication, structuring CDO with specified credit rating,
asset and liability management, optimization of hedge funds, hedging, and
pricing of credit derivatives.
Implementation
and Selected Publications
Papers in Refereed Journals (can be downloaded)
Technical Reports & Working Papers (can be downloaded)
Risk Management and Financial
Engineering (RMFE) Lab
Financial Engineering
Seminars
Editor-in-chief of The Journal of Risk, IncisiveMedia, and Associate editor of the Journal of Global
Optimization, Springer .
Organized
International
Workshop: Tutorials on Financial Engineering (2006)
International Conference on Financial Engineering (2006)
International
Conference on “Risk Management and Quantitative Approaches in Finance
(2005)
International Conference
on “Modeling, Optimization and Risk Management in Finance (2003)
International Conference on "Stochastic
Optimization: Algorithms and Applications (2000)