Faculty Profile

Dr. Somayeh Moazeni

ASSISTANT PROFESSOR*
Building: Babbio 514
Email: smoazeni@stevens.edu
Website
School:  School of Systems & Enterprises
Department:  School of Systems and Enterprises
Program:  Financial Engineering
Education
  • PhD in Computer Science, School of Computer Science, University of Waterloo, Canada. Oct. 2011
  • Certificate in University Teaching (CUT), Centre for Teaching Excellence, University of Waterloo, Canada. Sept. 2010
  • MMath in Combinatorics and Optimization, Department of Combinatorics and Optimization, University of Waterloo, Canada. Sept. 2006
  • M.Sc. and B.Sc. in Mathematics, Tehran Polytechnic, Iran.  Mar. 2005 and Feb. 2005
Research
  • Risk Management
  • Stochastic Models and Stochastic Optimization
  • Dynamic Programming and Markov Decision Processes
  • Numerical Optimization
  • Algorithmic Trading Strategies
  • 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. Somayeh Moazeni, Thomas F. Coleman, Yuying Li. (2010). "Optimal Portfolio Execution Strategies and Sensitivity to Price Impact Parameters", SIAM Journal on Optimization, 20 (3), 1620-1654.
  2. Somayeh Moazeni, Thomas F. Coleman, Yuying Li. (2013). "Optimal Execution Under Jump Models for Uncertain Price Impact", Journal of Computational Finance, 16 (4), 1-44.
  3. Somayeh Moazeni, Thomas F. Coleman, Yuying Li. (2013). "Regularized Robust Optimization: The Optimal Portfolio Execution Case", Computational Optimization and Applications, 55 (2), 341-377.
  4. Somayeh Moazeni, Thomas F. Coleman, Yuying Li. "Smoothing and Parametric Rules for Stochastic Mean-CVaR Optimal Execution Strategy", Annals of Operations Research, To appear (2013).
Courses
  • FE 540 Probability theory for FE