## 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

- Spring 2012:
__ORIE 4300 Optimization Methods in Finance__, taught by Professor James Renegar - Spring 2009, 2010, 2011:
__ORIE 5582 Monte Carlo Methods for Financial Engineering__, taught by Professor Peter Frazier (2010,2011) and Professor Shane Henderson (2009). - Fall 2008:
__ORIE 4740 Statistical Data Mining__, taught by Professor Dawn Woodard. - Fall 2006, Spring 2007, Fall 2007:
__Statistics__, taught at ETH Zurich by Professor Peter Bühlmann.

## Contact Information

294 Rhodes Hall

Cornell University

Ithaca, NY, 14853

rw339 at cornell.edu