AREAS OF INTEREST

Optimization, operations research, data mining, mathematical modeling, optimization in finance, portfolio and risk management, algorithms, software development, high-performance computing

HIGHLIGHTS OF QUALIFICATIONS

· Wide expertise in optimization, operations research and data mining

· Advanced training in economics, optimization methods in finance, economics and risk management, financial modeling and portfolio management

· Proficiency in mathematical modeling, algorithms and software

· Extensive programming skills and experience in mathematical software development

· Knowledge of system architectures and operating systems, system administration experience

· Fluency in a number of languages including English and Russian, proficiency in technical writing

· Ability to meet deadlines, to work independently and in a team, good communication skills

EDUCATION

Ph.D. in Computer Science

2004 – 2010

Advanced Optimization Laboratory, Department of Computing and Software,

McMaster University, Hamilton, ON, Canada

Ph.D. Project: Multiobjective and Parametric Optimization with Applications in Finance

Supervisors: Tamás Terlaky (Lehigh University) and Antoine Deza (McMaster University)

Master of Science in Computer Science

2002 – 2004

Advanced Optimization Laboratory, Department of Computing and Software,

McMaster University, Hamilton, ON, Canada

M.Sc. Thesis: Quadratic and Parametric Quadratic Optimization

Supervisor: Tamás Terlaky, Canada Research Chair in Optimization

Master of Arts in Economics

2000 – 2002

Center for Economic Research and Graduate Education (CERGE) / University of

the State of New York graduate program, Charles University, Prague, Czech Republic

Bachelor of Science in Systems Engineering, with distinction

1993 – 1998

Sumy State University, Sumy, Ukraine

B.Sc. Thesis: Microprocessor Control System of the Electronic Microscope PEM-125K

WORK EXPERIENCE

MITACS Industrial Postdoctoral Research Fellow

2010 – present

McMaster University, Hamilton, ON, Canada

Algorithmics Inc., an IBM Company, Toronto, ON, Canada

· Conduct research on risk management and financial optimization

· Develop and implement risk management, portfolio optimization and portfolio replication models

· Lecturer for the course Continuous Optimization Algorithms at McMaster University

Intern, Quantitative Research Group

2008 – 2009

Algorithmics Inc., Toronto, ON, Canada

· Conducted research on credit risk optimization and portfolio replication

· Developed, implemented and tested risk management and portfolio optimization models

CTO, Project Manager

(part-time) 2005 – present

Creatif Solutions, Hamilton, ON, Canada

· Manage and participate in scientific software development projects

· Provide IT-consulting services for local businesses

· Lead and manage IT-support projects

Senior Computer Systems Analyst

(part-time) 2004 – 2010

Tetraplex Limited, Hamilton, ON , Canada

· Administered mail/web/backup/hosting/collaboration servers for a number of industrial clients

· Managed and supported application development projects

· Provided network design and deployment services

Research Assistant

2003 – 2008

Advanced Optimization Laboratory, McMaster University, Hamilton, ON, Canada

· Designed, developed and tested optimization software packages (SeDuMi and McIPM)

· Managed hardware and software infrastructure for solving optimization problems remotely via Internet (CaNEOS Server for Optimization)

· Administered and maintained high-performance computational servers, workstations, PCs and all other equipment at the Advanced Optimization Laboratory

Teaching Assistant

2002 – 2009

Department of Computing and Software, McMaster University, Hamilton, ON, Canada

· Design and Implementation of C Programs course for 2^nd year computer science students (160 students class)

· Continuous Optimization Algorithms course for 4^th year computer science, software engineering and management students (delivered five times, 90 students per class)

Research Assistant

2001 – 2002

Center for Economic Research and Graduate Education, Prague, Czech Republic

· Designed and developed computer-based experimental economics projects with subjects interacting with each other in real time using a network of PCs

· Conducted research in e-commerce

System Administrator, Programmer

1998 – 2000

Industrial Company “Kvalitet”, Sumy, Ukraine

· Managed computer equipment and administered a local area network

· Installed and maintained office hardware/software

· Performed various programming and technical tasks

AWARDS AND HONOURS

· MITACS Industrial Postdoctoral Fellowship, McMaster University, Hamilton, ON 2010

· Second Place at MITACS Poster Competition, Fredericton, NB 2009

· MITACS ACCELERATE Internship at Algorithmics Inc., Toronto, ON 2009

· First place at International Forum of Young Researchers, St. Petersburg, Russia 2009

· MITACS ACCELERATE Internship at Algorithmics Inc., Toronto, ON 2008

· First Place at MITACS Poster Competition, Montreal, QC 2008

· Second prize at SIMUL8 Simulation Competition, Quebec, QC 2008

· First place at International Forum of Young Researchers, St. Petersburg, Russia 2008

· Diploma in Operational Research, Canadian Operational Research Society 2007

· Nortel OGSST Graduate Scholarship, McMaster University, Hamilton, ON 2007

· First Place at MITACS Poster Competition, Winnipeg, MB 2007

· VISUAL8 Modelling Competition Winning Team Member, London, ON 2007

· International Operations Research Case Competition Winning Team Leader,
Simon Fraser University, Vancouver, BC 2007

· RIM Ontario Graduate Scholarship, McMaster University, Hamilton, ON 2006

· Ontario Graduate Scholarship, McMaster University, Hamilton, ON 2005

· Sherman Graduate Scholarship, McMaster University, Hamilton, ON 2004

· Best Student Paper Prize, Canadian Operational Research Society 2004

· Ashbaugh Graduate Scholarship, McMaster University, Hamilton, ON 2003

· Citigroup Foundation Scholarship, CERGE, Prague, Czech Republic 2002

· CERGE Performance Scholarship, CERGE, Prague, Czech Republic 2001

· Ukrainian Contest in Programming, Second Prize, Ukraine 1993

PUBLICATIONS

1. Mausser, H., and Romanko, O. (2011) Bias, Exploitation and Proxies in Scenario-Based Risk Minimization. Submitted to Optimization (special issue on Optimizing Risk Management).

2. Romanko, O., Ghaffari-Hadigheh, A., and Terlaky, T. (2011) Multiobjective Optimization via Parametric Optimization: Models, Algorithms and Applications. To appear in Springer Proceedings in Mathematics.

3. Iscoe, I., Kreinin, A., Mausser, H., and Romanko, O. (2011) Portfolio Credit Risk Optimization. Report ARPS 09-01, Algorithmics Inc., Toronto, submitted to Journal of Banking and Finance.

4. Burmeister, C., Mausser, H., and Romanko, O. (2010) Using Trading Costs to Construct Better Replicating Portfolios, Enterprise Risk Management Symposium Monograph, Society of Actuaries, Schaumburg, IL, April 2010.

5. Romanko, O. (2010) Multiobjective and Parametric Optimization with Applications in Finance, Ph.D. Thesis, defended on March 26, 2010.

6. Ghaffari-Hadigheh, A., Romanko, O., and Terlaky, T. (2010) Bi-Parametric Convex Quadratic Optimization. Optimization Methods and Software, Volume 25, Issue 2 (2010), pp. 229-245.

7. Ghaffari-Hadigheh, A., Romanko, O., and Terlaky, T. (2008) On Bi-Parametric Programming in Quadratic Optimization. Proceedings of the “Continuous Optimization and Knowledge-Based Technologies” Conference, Neringa, Lithuania, May 20-23, 2008.

8. Bose, C., Romanko, O. and Gong J. (2007) Optimization of Multi-Drug Composition for the Most Efficacious Action. Proceedings of 11^th PIMS Industrial Problem Solving Workshop (IPSW), Edmonton, AB, June 11-15, 2007.

9. Ghaffari-Hadigheh, A., Romanko, O., and Terlaky, T. (2007) Sensitivity Analysis in Convex Quadratic Optimization: Simultaneous Perturbation of the Objective and Right-Hand-Side Vectors. Algorithmic Operations Research, Volume 2, Number 2 (2007), pp. 94-111.

10. Grodzevich, O., Romanko, O. (2006) Discussions on Normalization and Other Topics in Multi-Objective Optimization. Proceedings of Fields-MITACS Industrial Problem-Solving Workshop (FMIPW), August 14-18, 2006, pp. 89-102.

11. Romanko, O. (2004) An Interior Point Approach to Quadratic and Parametric Quadratic Optimization, M.Sc. Thesis, defended on August 19, 2004.

12. Ghaffari-Hadigheh, A., Romanko, O., and Terlaky, T. (2003) Simultaneous Perturbation Parametric Analysis in Convex Quadratic Optimization. Technical Report #2003/6, Advanced Optimization Laboratory, McMaster University, Hamilton.

SOFTWARE

· Copyright (2004-2008) on SeDuMi open source software package for solving optimization problems over symmetric cones (with T. Terlaky, I. Pólik and Y. Zinchenko), http://sedumi.mcmaster.ca

· Development of McIPM software package for solving linear and quadratic optimization problems (joint with L. Zhu)

· Development of CaNEOS Server for Optimization – Internet-based client-server optimization engine

COMPUTER SKILLS

System Administration:	MS Windows, Unix/Linux, Mac OS

Programming Languages:	C/C++, Pascal, Fortran, HTML, XML, JavaScript, Perl, PHP, SQL, FoxPro/dBASE

Mathematical and Statistical Software:	Matlab, Maple, Mathematica, Mathcad, Cplex, Mosek, Ipopt, Minos, AMPL, AIMMS, Simul8, R, Stata, E-views, TSP

LEADERSHIP AND ACTIVITIES

· Organizer and Practice Chair of CORS/MOPGP International Joint Conference 2012, Niagara Falls, ON, Canada, June 11-13, 2012.

· Organizer of Industrial Academic Workshop on Optimization in Finance and Risk Management, Fields Institute, Toronto, ON, Canada, October 3-4, 2011

· Graduate Student Representative at the Department of Computing and Software, McMaster University, Hamilton, ON, Canada (2005-2008)

· Technical support and conference management software development for MOPTA and ICCOPT conferences, McMaster University, Hamilton, ON , Canada (2003-2007)

· Served as the Vice-President of Youth Environmental NGO “Eco”, Sumy, Ukraine (1998-2000)

· Organizing Committee Chair of the International Student Conference “Economics for Ecology”, Sumy, Ukraine (1999, 2000)

MEMBERSHIP

· Canadian Operational Research Society (CORS)

· Institute for Operations Research and the Management Sciences (INFORMS)

· Mathematical Optimization Society (MOS)

· Society for Industrial and Applied Mathematics (SIAM)

· Professional Risk Managers' International Association (PRMIA)

LANGUAGE SKILLS

· English (fluent), Ukrainian, Russian (both native), Czech (intermediate)

INTERESTS

· Sports: mountain hiking, canoeing, cross-country and downhill skiing, tennis, swimming

· Traveling: traveled to the majority of European countries, summer work in the UK and Russia

· Graphic arts: computer graphics and art, web-design

REFERENCES

Available upon request