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Boris Gnedenko

Ph. Doctor

 

Education:

 

2006	Ph.D. – Mathematical and Instrumental Methods in Economics, Central Economical and Mathematical Institute of Academy of Sciences, Moscow - "Wealth Maximization in Arbitrage Markets with Transaction Costs" (under supervision of A.N. Shiryaev).
1992-1997	B.S+M.S – Moscow State University, Probability Dept.

 

Major directions of specialization:

• Optimal Investment (Asset Allocation, Portfolio Optimization and Risk Management)

• Statistical approach to Trading Strategies development

• Software Development

Industrial Expirience:

 

2004 - present	Self-employed in financial software development field
2000 - 2002	Head of Research, SM Consulting Ltd, Moscow
2000	Chief Economist, Financial Markets Dept., Petrocommerce Bank, Moscow
1997 - 1999	Senior Economist, Treasury, Sberbank of Russia, Moscow

                                               

Publications:

1. Максимизация капитала на арбитражных финансовых рынках с операционными издержками // Обозр. прикл. и пром. мат. - 2006 - т. 13 - № 2  - С. 221-254

2. Об одном расширении понятия мартингала // Теор. вер. и ее прим. - 2005 - т. 50 - № 4  - С. 763-767.

3. The stochastic maximization problem for linear functionals with a charge for the use of solutions // RUSS MATH SURV, 2003, 58 (4), 784-785.

4. The best constant in an inequality of Khinchin type for quadratic forms // RUSS MATH SURV, 2000, 55 (2), 340-341.

Personal Information:

Date and place of birth:  July 15, 1975, Moscow, Russia.

Home address:  Vernadskogo pr., 99-1-144, Moscow, 117526, Russia.

Phones: +7 (495) 233 6156 (mobile), +7 (495) 433 9168 (home)

E-mail:  bgnedenko@science.comcor.ru