Peter works as a quantitative researcher in hedge fund industry. His prior experience includes working in asset management department at Deutsche Bank. His main areas of expertise is development and backtesting of quantitative strategies, optimization and statistical analysis in finance. Peter holds a Ph.D. Degree in Financial Engineering from University of Florida, Master’s degree in Data Mining from Moscow Institute of Physics and Technology.
He also presented his research in publications related to Data Mining and Financial Engineering:
- Value-at-risk support vector machine: stability to outliers – Journal of Combinatorial Optimization
- Optimal structuring of collateralized debt obligation contracts: an optimization approach – Journal of Credit Risk
- Calibrating probability distributions with convex-concave-convex functions: application to CDO pricing – Computational Management Science