Stavros A. Zenios
Biography
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Dr. Zenios is known internationally for his work in computational finance and financial services, high-performance and parallel computations, and operations research. In his career he authored two books, edited twelve books and journal issues, and (co)authored over 130 scholarly articles in some of the premier journals in the field. He holds two US patents on financial engineering methods. His book with Yair Censor Parallel Optimization received the 1999 ICS prize of the Institute of Operations Research and the Management Sciences. His article with A. Soteriou in Management Science on banking services received a Best Paper Award from the Decision Sciences Institute at the 1999 International Meeting. In 2000 he was a Marie Curie Fellow of the European Commission.
He is currently the Director of the HERMES Center on Computational Finance & Economics, which has been selected by the European Commission as a European Center of Excellence. The Center develops mathematical models and novel computational techniques for planning financial operations. Its products have been used for fixed-income and asset/liability management by institutions in Switzerland, the United States and Europe. Dr Zenios serves as consultant for several financial institutions, and he consulted with supercomputing manufacturers such as CRAY Research and Thinking Machines Corporation. He lectured extensively in North America, Europe and the Far East, and gave seminars to more than fifty Universities worldwide. He serves on the editorial board of six journals and is editor for the Handbook on Asset and Liability Management in Elsevier’s series Handbooks of Finance.
He received a BSc degree in Mathematics from London University in 1980, a BEng degree in Electrical Engineering from Council of Engineering Institutions in 1982, MA and PhD degrees in Engineering-Management Systems from Princeton University in 1986, and an Honorary MA from University of Pennsylvania in 1992. Prior to joining the University of Cyprus to serve as the first Dean of the School of Economics and Management he was a tenured faculty member of the Wharton School, University of Pennsylvania. He also held visiting academic appointments at the Sloan School of the Massachusetts Institute of Technology (MIT), University of Haifa (Israel), University of Vienna, and the Universities of Bergamo, Milano and Urbino.
Sample publications:
P.T. Harker and S.A. Zenios (eds.), Performance of Financial Institutions,
Cambridge Univ. Press, 2000.
A.C. Soteriou and S.A. Zenios, Quality, Profitability and Efficiency in the provision of banking services, Management Science, Vol. 45, pp. 1221--1238, 1999.
S.A. Zenios et al., Dynamic models for fixed-income portfolio management under uncertainty, Journal of Economic Dynamics and Control, Vol. 22, pp. 1517--1541, 1998.
Y. Censor and S.A. Zenios, Parallel Optimization: Theory, Algorithms, and Applications, Oxford University Press, 1997
S.A. Zenios (ed.), Financial Optimization, Cambridge University Press, 1993. (Paperback 1996)
See books and publications pages.
Awards
1988 Gordon Bell Competition Prize
Solving nonlinear network optimization problems on a massively parallel
Connection Machine
Patents
1. U.S. patent no. 5,187,801, ``Massively parallel procedure for sampling
binomial lattices”
2. U.S. patent (approved 1991) ``Massively parallel procedures for cashflow
calculations of mortgage-backed securities"
Software systems
1. ``GENOS: A Generalized Network Optimization System", joint with
J.M. Mulvey
2. ``A Model for Estimating Prepayments of Fixed-rate Mortgages",
joint with P. Kang.
Last update: April 24, 2002 HERMES Webmaster