Dr. Somayeh Moazeni

ASSISTANT PROFESSOR
Building: Babbio 519
Email: smoazeni@stevens.edu
Website
Education
  • PhD in Computer Science, School of Computer Science, University of Waterloo, Canada. 
  • Certificate in University Teaching (CUT), Centre for Teaching Excellence, University of Waterloo, Canada.
  • MMath in Combinatorics and Optimization, Department of Combinatorics and Optimization, University of Waterloo, Canada. 
Research

 

  • Continuous Optimization
  • Stochastic Models and Stochastic Optimization
  • Markov Decision Processes
  • Machine Learning
  • Big Data Analytics
  • Artificial Intelligence
  • Algorithmic Trading 
  • Electricity Market and Optimization of Energy Systems 
Honors & Awards

Selected

  • Natural Sciences and Engineering Research Council of Canada’s (NSERC) 2013 Postdoctoral Fellowship (PDF).
  • Google Canada Anita Borg Memorial Scholarship, Finalist (Spring 2009).
  • Meloche Monnex Graduate Scholarship in Quantitative Finance and Insurance (2009).
  • Ontario Graduate Scholarship (OGS).
  • President’s Graduate Scholarship, University of Waterloo, Canada.
  • Cheriton Graduate Scholarship, School of Computer Science, University of Waterloo, Canada (2007).
  • Provost Doctoral Award for Women, University of Waterloo, Canada (2006 – 2008).
Appointments
Selected Publications
Journals
  1. S. Moazeni, W. B. Powell, B. Defourny, B. Bouzaiene-Ayari. (2017). "Parallel Nonstationary Direct Policy Search for Risk-Averse Stochastic Optimization", INFORMS Journal on Computing. 29 (2), 332-349.
  2. S. Moazeni, R. A. Collado, A. Zhang. (2017). "Risk-Averse Dynamic Arbitrage in Illiquid Markets", Journal of Risk. In press.
  3. S. Moazeni, M. Coulon, I. Arciniegas Rueda, B. Song, W. B. Powell. (2016). "A Non-Parametric Structural Hybrid Modeling Approach for Electricity Prices", Quantitative Finance. 16 (2), 213-230.
  4. S. Moazeni, T. F. Coleman, Y. Li. (2010). "Optimal Portfolio Execution Strategies and Sensitivity to Price Impact Parameters", SIAM Journal on Optimization, 20 (3), 1620-1654.
  5. S. Moazeni, T. F. Coleman, Y. Li. (2013). "Optimal Execution Under Jump Models for Uncertain Price Impact", Journal of Computational Finance, 16 (4), 1-44.
  6. S. Moazeni, T. F. Coleman, Y. Li. (2013). "Regularized Robust Optimization: The Optimal Portfolio Execution Case", Computational Optimization and Applications, 55 (2), 341-377.
  7. S. Moazeni, T. F. Coleman, Y. Li. (2016). "Smoothing and Parametric Rules for Stochastic Mean-CVaR Optimal Execution Strategy", Annals of Operations Research, 237 (1), 99-120.
Courses
  • EM 360 Operations Management and Process Engineering
  • FE 621 Computational Methods in Finance
  • MGT 657 Operations Management
  • FE 540 Probability theory for FE
  • BIA 650 Optimization and Process Analytics