Education:
1991-1995 – Ph.D in Physics, Brown University, Providence, RI. GPA: 4.0/4.0
1990-1991 – M.Sc. in Physics, Brown University, Providence, RI
1983-1989 – B.Sc. in Physics (with honors), Moscow State University, Russia. GPA: 4.0/4.0
Awards:
1993-present Sigma Phi Sigma, Physics Honor Society
1990-1991 University Fellowship, Brown University
1985-1986 The Best Student Award, Moscow State University
Quantitative Skills:
Finance: The market model, index model, Black-Sholes option model, arbitrage pricing model, portfolio selection models, stochastic optimization methods.
Mathematics: Matrix analysis, optimization/ control theory, differential equations, partial differential equations, initial value problems, boundary value problems, wave equations.
Statistics/Econometrics: Time series analysis, linear and nonlinear statistical models, regression analysis, point estimation, interval estimation, estimation theory, hypothesis testing, numerical methods and algorithms for statistics.
Applied probability: Ito/Stratonovich calculus, martingales, Langevin equations, Fokker-Plank equation, Feynman-Kac formula, Monte Carlo methods, dynamical programming.
Physics: Application of stochastic differential equations in quantum field theory.
Computer skills:
Platforms: SUN Stations, Next Stations, IBM/RS6000, PC’s.
System software: Unix (BSD, System V, Ultrix, AIX), MS DOS, Windows.
Languages: C, Mathlab, Mathematica, Macsyma, BASIC, FORTRAN. Reduce.
Application Software: Excel, Lotus 123, Dbase, MS Office, Word Perfect.
Relevant experience:
1994-present Brown University, Providence, RI
Finance related course work:
*empirical analysis of financial markets: Analysis stock market
volatility, normality of the rates of return, single and multi
index model, optimal portfolios, hedging, Black– Sholes
options pricing model, market inefficiencies and arbitrage
pricing model.
*Theories of investment and corporate finance: Analysis
portfolio selections models, contingent claims, stock market
models, arbitrage conditions, financial innovations, corporate
investment and shareholders wealth, capital structure and
applications of stochastic control method.
1990– present Brown University, Providence, RI
Research Assistant, Applied Physics Department, High
Energy Theory Group.
Found a new class of the exactly solvable Fokker-Planck
Hamiltonians. Developed a non-critical string field
perturbation theory. Proposed and analyzed a generalization
