Dr. Somayeh Moazeni
- 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.
- 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
- 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).
- Assistant Professor, Stevens Institute of Technology.
- Postdoctoral Research Associate, Department of Operations Research and Financial Engineering, Princeton University.
- Senior Risk Analyst, Royal Bank of Canada (RBC) Financial Group.
- Risk Analyst, Bank of Montreal (BMO) Financial Group.
- 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.
- S. Moazeni, R. A. Collado, A. Zhang. (2017). "Risk-Averse Dynamic Arbitrage in Illiquid Markets", Journal of Risk. In press.
- 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.
- 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.
- 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.
- S. Moazeni, T. F. Coleman, Y. Li. (2013). "Regularized Robust Optimization: The Optimal Portfolio Execution Case", Computational Optimization and Applications, 55 (2), 341-377.
- 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.
- 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