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Research

My research area is applied probability. Currently I am designing and investigating new simulation optimization algorithms for continuous parameter spaces. In general I am interested in various problems involving probability theory, such as Monte-Carlo methods, risk management and information engineering. In addition I am interested in high-frequency trading algorithms and market microstructure theory.

My Ph.D. advisors are Professor Shane G. Henderson and Professor Peter I. Frazier.

I received a Bachelor and Master degree in Mathematics from ETH Zurich. My master thesis was on multivariate extreme value theory and was advised by Professor Paul Embrechts.

Publications and Working Papers

Journals and Refereed Conference Proceedings

  • Stoikov, S., and Waeber, R. (2012)
    Optimal Asset Liquidation Using Limit Order Book Information
    submitted. [available at SSRN]
  • Waeber, R., Frazier, P. I, and Henderson, S. G. (2012)
    Bisection Search with Noisy Responses
    submitted.
  • Waeber, R., Frazier, P. I, and Henderson, S. G. (2011)
    A Bayesian Approach to Stochastic Root-Finding
    Proceedings of the 2011 Winter Simulation Conference. [pdf]
    *1st Place, WSC '11 Best Student Paper Competition.
  • Waeber, R., Frazier, P. I, and Henderson, S. G. (2012)
    A Framework for Selecting a Selection Procedure
    ACM Transactions on Modeling and Computer Simulation (TOMACS) 22(3):16. [pdf]
  • Waeber, R., Frazier, P. I, and Henderson, S. G. (2010)
    Performance Measures for Ranking and Selection Procedures
    Proceedings of the 2010 Winter Simulation Conference. [pdf]
  • Lysenko, N., Roy, P., and Waeber R., (2009)
    Multivariate Extremes of Generalized Skew-Normal Distributions
    Statistics and Probability Letters, 79/4, 525-533. [pdf]

Working Papers

  • Waeber, R., Frazier, P. I., and Henderson, S. G.
    Probabilistic Bisection and Stochastic Root-Finding
  • Cheridito, P., Frazier, P. I., Stadje, M., and Waeber R.
    Dynamic Programming with Risk Constraint
  • Waeber, R., and Weber, S.
    Estimation of OCE Risk Measures with Liquidity Adjustments

Presentations

  • INFORMS Annual Meeting, Phoenix, AZ, Oct 2012
    Optimal Asset Liquidation Using Limit Order Book Information [slides]
    Probabilistic Bisection Search for Stochastic Root-Finding [slides]
  • Ph.D. Reunion ORIE, Cornell University, Ithaca, NY, Oct 2012
    Bisection Search in the Presence of Noise [poster]
  • International Workshop on Applied Probability, Jerusalem, Israel, June 2012
    Probabilistic Bisection Search for Stochastic Root-Finding [slides]
  • Winter Simulation Conference, Phoenix, AZ, Dec 2011.
    A Bayesian Approach to Stochastic Root-Finding [slides] [poster]
  • INFORMS Annual Meeting, Charlotte, NC, Nov 2011.
    A Bayesian Approach to Stochastic Root-Finding [slides]
  • 6th Annual Machine Learning Symposium, New York, NY, Oct 2011.
    Bisection Search in the Presence of Noise [poster]
  • Probability Seminar, Cornell University, Ithaca, NY, Oct 2011.
    Probabilistic Bisection Search for Stochastic Root-Finding [slides]
  • Ph.D. Colloquium ORIE, Cornell University, Ithaca, NY, Oct 2011.
    A Bisection Approach to Stochastic Root-Finding [slides]
  • Winter Simulation Conference, Baltimore, MD, Dec 2010.
    Performance Measures for Ranking and Selection Procedures [slides]
  • INFORMS Annual Meeting, Austin, TX, Nov 2010.
    Performance Measures for Ranking and Selection Procedures [slides]
  • Deutsche Bundesbank, Frankfurt, Germany, Aug 2009.
    Efficient Estimation of Liquidity-Adjusted Risk Measures [slides]
  • INFORMS Applied Probability Society Conference, Ithaca, NY, Jul 2009.
    Stochastic Root-Finding and Efficient Estimation of Convex Risk Measures [slides]

Theses

  • Master Thesis, ETH Zurich, Switzerland, 2008
    Advisor: Professor Paul Embrechts
    Multivariate Skew-Normal Distributions and their Extremal Properties [pdf]
  • Bachelor Thesis, ETH Zurich, Switzerland, 2006
    Advisor: Professor Philipp J. Schönbucher
    Bewerten von Rainbow-Optionen: Ein Dualitätsansatz
    (Valuation of Rainbow Options: A Duality Approach) [pdf] (available only in German)

Curriculum Vitae

CV is available upon request.

Teaching


Contact Information

294 Rhodes Hall
Cornell University
Ithaca, NY, 14853
rw339 at cornell.edu