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 2010); ESI 6912:
Introduction to Stochastic Optimization
EIN 4354:
Engineering Economics; EIN 4905: Introduction to Financial Engineering:
Honors Section
Consultant to American Optimal Decisions (AORDA). The AORDA 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,
Presentations, 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 Emeritus
and Chairman of the Editorial Board of The
Journal of Risk, IncisiveMedia, and Associate Editor of the Journal of Global
Optimization, Springer .
Organized
International
Conference on Engineering Risk Control and Optimization (2009)
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)