I am a Senior Research Analyst, Quantitative Research, Risk Analytics - Business Analytics, IBM, Toronto, Canada. I work in the area of risk management, finance, optimization, operational research, mathematical modelling, data mining, algorithms and software. I have advanced training in optimization methods in finance and economics, financial modelling, risk management and portfolio management. I posses programming skills and expertise in mathematical software development and have knowledge of system architectures and operating systems.
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Research interests:
  • Financial risk management
  • Optimization in finance, financial modeling
  • Portfolio optimization, robust portfolio selection
  • Business analytics, operational research
  • High-performance computing, algorithms, software
  • Multi-objective and parametric optimization
  • Linear, quadratic, second order conic and semidefinite optimization
Publications:
Recent Presentations:
  • Seminar "Multiobjective and Robust Optimization in Finance and Risk Management" at the GERAD/Mprime and CORS Seminar, University of Montreal, Montreal, Canada, March 12, 2012.
  • Presentation "Simulation and Optimization in Risk Management and Finance - an IBM-Algorithmics Approach" at the Quantitative Finance and Risk Management Workshop, University of Toronto, Toronto, Canada, March 1-3, 2012.
  • Seminar "Scenario-Based Value-at-Risk Optimization" at the Industrial Optimization Seminar, Fields Institute, Toronto, Canada, February 7, 2012.
  • Poster presentation "Multiobjective Robust Optimization in Finance and Risk Management" at INFORMS Annual Conference 2011, Charlotte, NC, USA, November 13-16, 2011.
  • Presentation "Multiobjective and Robust Optimization in Finance and Risk Management" at the Industrial-Academic Workshop on Optimization in Finance and Risk Management, Fields Institute, Toronto, Canada, October 3-4, 2011.
  • Presentation "Multiobjective Optimization in Finance and Risk Management" at the 21st International Conference on Multiple Criteria Decision Making, Jyvaskyla, Finland, June 13-17, 2011.
  • Presentation "Solving Multiobjective Optimization Problems in Finance and Risk Management" at CORS 2011 Annual Conference, St. John's, NL, May 30 - June 1, 2011.
  • Presentation "Constructing Sparse Replicating Portfolios for Insurance Liabilities by Regularized Optimization" at University of Toronto Operations Research Group seminar, Toronto, ON, November 24, 2010.
  • Presentation "Constructing Sparse Replicating Portfolios by Weighted Regularized Optimization" at 14 International Congress on Insurance: Mathematics and Economics, Toronto, ON, June 17-19, 2010.
  • Presentation "Bi-Parametric Convex Quadratic Optimization" at INFORMS Annual Meeting 2009, San Diego, CA, USA, October 2009.
  • Presentation "Multiobjective Optimization via Parametric Programming: Algorithms and Financial Applications" at CORS-INFORMS International Meeting 2009, Toronto, ON, June 14-17, 2009.
  • Poster presentation "Credit Risk Portfolio Optimization" at MITACS Annual Conference 2009, Fredericton, NB, June 1-5, 2009.
  • Presentation "Credit Risk Optimization" at the Dept. of Industrial and Systems Engineering, Lehigh University, Bethlehem, PA, November 14, 2008.
  • Presentation "Multi-objective Optimization Via Parametric Programming: Models, Algorithms and Challenges" at INFORMS Annual Meeting 2008, Washington, DC, October 12-15, 2008.
  • Presentation "Multi-objective and Parametric Optimization in Financial Modelling" at International Conference on Continuous Optimization (ICCOPT II), Hamilton, ON, August 13-16, 2007.
  • Presentation "Parametric Analysis in Conic Linear Optimization" at European Conference on Operational Research (EURO XXII), Prague, Czech Republic, July 8-11, 2007.
  • Presentation "Multi-Objective Optimization via Parametric Analysis: Optimal Partition Based Approach", 2nd Conference on Optimization Methods and Software, Prague, Czech Republic, July 4-7, 2007.
  • Poster presentation "Multi-Objective and Parametric Optimization: Models, Algorithms and Applications in Finance" at CMS-MITACS Joint Conference 2007, Winnipeg, MB, May 31 - June 3, 2007.
  • Presentation "Parametric and Sensitivity Analysis in Conic Linear Optimization: Algorithms and Applications", Canadian Operational Research Society (CORS) National Meeting 2007, London, ON, May 13-16, 2007.

 

Academia
McMaster University
CERGE-EI
Sumy State University
Industry
Creatif Solutions
Tetraplex Limited
Algorithmics Inc.
Societies
MITACS
CORS
SIAM
MOS
INFORMS
 Research Area

 Publications

 Presentations
 SeDuMi

 CaNEOS

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