Curriculum Vitae:
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Employment:
- Research Assistant (Postdoc), University of Edinburgh, 2011-present
Education:
- Ph.D. in Mathematics, University of Connecticut, 2009-2010
- M.S. in Mathematics, University of Connecticut, 2007-2009
- M.S. magna cum laude in Applied Physics and Mathematics, Moscow Institute of Physics and Technology, 2007-2009
- B.S. magna cum laude in Applied Physics and Mathematics, Moscow Institute of Physics and Technology, 2003-2007
Academic Visits:
- Universidad Carlos III de Madrid, January–March 2010
Referee for:
- SIAM Journal on Scientific Computing
- Linear Algebra and its Applications
- Linear and Multilinear Algebra
- Journal of Scientific Computing (Elsevier)
Programming Skills:
- C/C++, OpenMP, MATLAB, Mathematica, R, SQL, Unix, bash
Students:
- Yining Kan (M.Sc., 2011)
Thesis: "Filtering of empirical correlation matrix in portfolio optimization"
- Li Xiao (M.Sc., 2011)
Thesis: "Pairs trading in volatile markets"
- Xiaopu Wang (M.Sc., 2012 (expected))
Thesis: "Comparison of regularization techniques for portfolio selection"
- Zhonghe Lin (M.Sc., 2012 (expected))
Thesis: "Minimizing Conditional Value-at-Risk under linear and non-linear (t-Copula) correlation models"
References:
