Professor Sergei Levendorskiy

Director of Distance Learning Programme "Financial Engineering and Risk Management"; Chair in Financial Mathematics & Actuarial Science; Deputy Director of Institute of Finance

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Other versions of my names: Sergey, Serge; Levendorskiy, Levendorski

Curriculum vitae

Google scholar profile

Current research: new efficient numerical methods for pricing contingent claims, CDSs in particular. Short summary. See also my working papers on www.ssrn.com

The work in progress: extensions to quanto CDSs, CVA, FVA.

The main occupation at present: development of the new

Distance Learning MSc Program

“Financial Engineering and Risk Management”

endorsed by and developed with the participation of leading specialists from the industry and academia: theory meets practice.

Short bio’s of the lecturers of the programme

Endorsements

The program integrates important elements of  financial economics and econometrics, financial engineering (standard and advanced pricing models including) and risk management, which are necessary for risk managers in the increasingly complex regulatory environment. The demand for qualified specialists is non-satiated, and rewards are high.

As noted in a Financial Times article on 27 April 2014, a much greater emphasis on risk management, following the financial crisis of 2008-2009, has caused banks to increase hiring levels dramatically in their risk divisions. Hiring has increased at both junior and senior levels, especially in areas such as credit risk management, where the increasing demand for talented staff is driven by the tougher regulatory environment and increasing complexity of the models used by the banks. As a result, salary levels have increased as well. The FT reports that, in 2013, salaries in risk jobs have risen by 6% on average, and by 19% for those who moved to new organisations.

With the introduction of Solvency II (currently scheduled to come into effect in 2016), advanced risk management techniques are becoming crucial for insurance as well. On May 22, Mark Carney, the Governor of the Bank of England, warned British insurance companies they are not too big to fail and like bankers, top insurance executives would be "accountable for their actions if things go wrong". It is  sometimes difficult for insurers to understand properly the financial risks, since their background is typically different from that of risk managers in banks.

TARGET GROUPS OF STUDENTS

MAIN STRONG POINTS FOR STUDENTS

MAIN SKILLS TAUGHT

WHY IS THE NEW PROGRAMME UNIQUE AMONG EXISTING PROGRAMMES

THE STRUCTURE OF THE PROGRAMME

My current research interests are pricing of financial instruments of various kind, mainly barrier options and American options on stocks, indices and exchange rates; real options; interest rate derivatives; estimation of time-irreversible processes. At the technical level, together with my co-authors, I develop new efficient methods for Laplace and Fourier inversions and calculation of the Wiener-Hopf factors; as a by-product, very efficient methods for Monte Carlo simulations of Levy processes are obtained. Currently, I am applying these methods to price CDS (credit default swaps) as well since this topic has become extremely important, and the standard approaches to credit risk proved to be inadequate. In addition, new regulation may drastically change the field, which will create numerous opportunities. See the related publication on Eurointelligence website http://www.eurointelligence.com/article.581+M5f964ea3344.0.html

an article with a similar content was published in Financial Times on March 5, 2009, and the working paper Boyarchenko, Svetlana I. and Levendorskii, Sergei Z.,Snowball Effect of a CDS Market(July 28, 2009). Available at SSRN: http://ssrn.com/abstract=1440388

For more recent and more technical publications, see CV and a recent talk

The complexity of financial markets requires sound understanding of the basic principles of economics and advanced mathematical tools from, essentially, all fields of mathematics. The former are needed to avoid or, at least, mitigate disasters such as the current credit crisis; analytical methods are indispensible for construction of efficient numerical methods. Interactions among methods originated in Stochastics (probabilistic version of the Wiener-Hopf factorization, Monte Carlo simulations) and the methods of Real and Complex Analysis (operator form of the Wiener-Hopf factoriztion, Integral  Transform  methods (Fourier transform  in particular), eigenfunction expansions, finite difference methods, splines, residues) are especially promising. To a great extent, my current research builds upon my past experience in Economics, Analysis and Algebra. For details, see the links on the left.

Past research: Economics.  Several years ago, my co-authors and I constructed two models of Russia's virtual economy. The first one, constructed before the August 1998 default, explained why Russia's virtual economy could not be reformed by monetary policies, and why the stabilization could not be achieved. The second model constructed after the default, explained why the prices in roubles had not changed much after the default but the prices in money substitutes had doubled. I have received the Fulbright award and Zvi Griliches award for the best research paper of the year for these models. The results were presented at a plenary talk at the international conference on Transition Economies (Moscow, 2000) and at a Money, Macro, and Finance meeting in London, 2000

Past research: Analysis. I worked in several fields of analysis: general theory of pseudo-differential  operators (PDO) including degenerating elliptic operators and hypoelliptic operators, spectral asymptotics for these operators with applications to Schrödinger operators. Among the results, a general method for calculation of spectral asymptotics for wide classes of PDE and PDO, generalizations of the classical Weyl formula and Colin de Verdiere's formula based on the method of orbits, spectral asymptotics for perturbed periodic Schrödinger operator, the proof of absolute continuity of the spectrum of wide classes of operators with periodic potentials (with Peter Kuchment), a general calculus of pseudo-differential operators with the symbols having singularities or degenerating at the boundary, and a calculus of boundary problems for degenerate elliptic operators.

Past research: Quantum groups. The main results, which I obtained, are: last step in classification of irreducible representations of compact quantum groups; proof of the multiplicative formula for the universal R-matrix for quantized universal enveloping algebras of  simple Lie groups  (with Yan Soibel’man); proof of the Poincare-Birkhoff-Witt theorem for Yangians; construction of Affine Yangians; a short proof of an important commutation relation for quantized enveloping algebras.

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Contact details

Department of Mathematics
University of Leicester
University Road
Leicester LE1 7RH
United Kingdom

Tel.: +44 (0)116 252 3917
Fax: +44 (0)116 252 3915

Campus Based Courses

Undergraduate: mathsug@le.ac.uk
Postgraduate Taught: mathspg@le.ac.uk

Postgraduate Research: pgrmaths@le.ac.uk

Distance Learning Course  

Actuarial Science:

sep-dl@le.ac.uk  

 

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