Perm Winter School is a community of bright students, forward-looking academicians, and innovative industry practitioners in the area of quantitative finance, risk management, and financial technologies. Every winter the school's comprehensive program covers the latest empirical researches, theoretical models, and industry best practices.Past events
Worst-case approach to strategic optimal portfolio selection under transaction costs and trading limits
Mapping the stocks in MICEX: Who is central in Moscow Stock Exchange?
Richard Olsen is a pioneer in high-frequency finance. He has extensive entrepreneurial experience, and he is well known for his academic work. Richard is the founder of Lykke, Oanda, Olsen Associates. He oversees all portfolio investments as part of a comprehensive risk management process and is involved in the ongoing development of trading models. Richard has written and co-authored many scientific papers and published a book, numerous articles and opinion pieces on a variety of topics. Richard's unorthodox but compelling ideas have made him a very welcome speaker at conferences around the world. His goal is "to create tools of finance that are as slick and elegant as the most sophisticated tools of technology".
Alexey Lobanov is the Director of Banking Regulation Department at the Bank of Russia. Alexey graduated from the National Research University of Electronic Technology in Moscow and has a doctoral degree in finance awarded by the Russian Academy of Sciences. He has been a member of GARP since 1999 and member of the Steering Committee of PRMIA Russian Chapter since 2002. He is a Financial Risk Manager – certified by the Global Association of Risk Professionals and has 18 years of professional experience in finance.
Alexey has over 20 papers and articles to his credit, edited and co-authored several books. He is a lecturer in technical and fundamental analysis and risk management. His research interests include financial intermediation theory, regulation of bank risks, risk analysis of large-scale investment projects, risk management of sovereign debt and reserves, and financial market analysis.
Sergey's dream is to make financial market better, faster, and more inclusive. For 16 years, he has been an industry professional, lecturer, author, and event curator, and he has served on the editorial boards of academic journals and as a member of expert councils. His contributions throughout his career have promoted best practices in financial markets and risk management. He has executed and supervised more than 100 large-scale system implementation projects. He is currently regional director at PRMIA Russia and associate professor at Perm State University.
Olga Stepanova is the head of Basel implementation project in Russian National Commercial Bank. In 2002, Olga Stepanova graduated from the Economics Faculty , Moscow State University, with a degree in General Economics. In 2004, she received a master's degree in Mathematical Methods of Analysis in Economics from the Economics Faculty, Moscow State University. Olga worked in the Market Risks Department of Russian Agricultural Bank. She was also Head of the Market Risk Department at NOMOS Bank.
Mihail is Lykke co-founder and CTO. He is an architect, designer, and developer with 10 years of experience in creating market solutions for financial institutions. His contributions include anti-money laundering, fraud detection, and compliance solutions for the financial market. He combines deep knowledge of financial architecture with blockchain settlement mechanisms.
Olga Kotina is the Head of Credit Risk at NLMK. She has 12 years of experience in risk management in banks that are ranked among the top 50 Russian banks.
Anna Obizhaeva earned her undergraduate degree in applied mathematics and computer science from Moscow State University in 2001 and completed her Ph.D. in finance at the Massachusetts Institute of Technology in 2007. Before joining the New School of Economics in Moscow, she has been an assistant professor at the University of Maryland (2007-2014). Professor Obizhaeva's research focuses on market microstructure, including topics such as market liquidity, transaction costs, information dissemination, price volatility, price manipulation, and optimal execution strategies. Her teaching interests include market microstructure and institutional asset management. She has won the prestigious Roger F. Murray Q-Group Prize (first place) for her work on market microstructure invariance.
Demetrios Zamboglou serves on the Postgraduate and Research Committee at King's College London. Demetrios is a multi-award winning executive and academic financial market specialist, holding a Fellow Charter Membership from the Chartered Institute of Securities and Investments (CISI) and he is the recipient of the Microsoft Research Grant (2016), the Amazon Web Services Award (2014) and the 30 under 30 prize by Square Mile Magazine in 2011. Mr. Zamboglou is the Chief Business Developer Officer of Lykke, a financial technology company, responsible for the Firm's International Business.
Ph.D. in Physics and Mathematics. Research fellow at FERM LAB (Financial Engineering and Risk Management). Author of more than 30 papers on risk management and dynamical model of interest rates term structure.
Passionate with historical dances reconstruction.
Vladimir Petrov is a PhD student of Department of Banking and Finance at the University of Zurich. His research topic is High Frequency Trading Risk Management Tools Based on Scaling Law. As a member of the EU Project BigDataFinance, he works at the development of novel financial instruments which should significantly improve modern economical world and finally move the understanding of our financial systems to a new level.