COMPUTATIONAL FINANCE: A SCIENTIFIC PERSPECTIVE

Currently Dr. Los is an Associate Professor of Finance in the College of Business Administration and the Graduate School of Management at Kent State University in Kent, OH, USA. His interests are in financial econometrics and financial engineering, portfolio theory and management, international financial markets and bank risk management. An author of more than 100 articles, book chapters, refereed conference papers, etc., Professor Los has written for numerous international publications. As a financial modeler, interested in financial risk measurement and analysis, like in inverse problems of non-stationary dependent data series, Prof. Los measures and analyzes the degrees of efficiency of financial markets, in particular, of FX and stock markets in Asia, Latin America and in Europe. He studies their long-term dependence characteristics, via the computation of L-stable distributions (power or scaling laws) of high frequency speculative pricing series, and via the computation of Lipschitz-Hölder exponents and multifractal spectra from wavelet multi-resolution analysis (MRA). He also assesses the impact of long term dependence on investment opportunity sets. He has more than 20 years experience in financial services and he has been a Senior Economist of the Federal Reserve Bank of NY and of Nomura Research Institute (America) and the Chief Economist of ING Bank in New York City. He has taught at Columbia University, and at Baruch, City and Hunter Colleges in New York City, at the Nanyang Technological University in Singapore and at Adelaide and Deakin Universities in Australia. His bio is recorded in several of Marquis' Who's Whos, i.a., Who's Who in America.