Somayeh Moazeni
Stevens Institute of Technology
Somayeh Moazeni is an assistant professor in the School of Business at Stevens Institute of Technology, Hoboken, USA. She holds a Ph.D. in Computer Science and a MMath in Combinatorics and Optimization both from the University of Waterloo, Canada. Prior to her work at Stevens, she was a postdoctoral research associate in the Department of Operations Research and Financial Engineering at Princeton University, USA, and a senior quantitative risk analyst at the Royal Bank of Canada in Toronto, Canada. Her research and teaching interests include continuous optimization, stochastic optimization, machine learning, risk management, and quantitative finance.
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Articles by Somayeh Moazeni
Risk-averse dynamic arbitrage in illiquid markets
This paper introduces the concept of risk-averse dynamic arbitrage using a general time-consistent dynamic risk measure and a risk-aversion threshold level.