Research interests:
Bayesian estimation of continuous
and discrete-time asset-pricing models
Hedging in Incomplete Markets
Bayesian estimation of Dynamic Stochastic General Equilibrium models
Papers:
"Bayesian Modeling of Shock Lapse Rates Provides New Evidence for
Emergency Fund Hypothesis," North American Actuarial Journal,
Routledge, vol. 18, issue 4, 2014
"Yield Curve Estimation and
Model Comparison in Discrete Time," working paper
"Indeterminacy, change points and the price puzzle in an estimated DSGE
model," Journal of Economic Dynamics & Control, Elsevier,
vol. 33, pages 624-648, 2009
“Practical Specification of Affine
Jump-Diffusion Stochastic Volatility Models,” working paper
"Improved Jump Specification in a Joint in AJD Model of S&P and
VIX," working paper
"Discrete Monetary Policy Changes and Changing Inflation Target in
estimated DSGE models," St. Louis Review, October/November 2005
Academic/professional activities:
Member:
AFA, ISBA, SCE, AAA working group, Olin MSF Advisory Board
Conference Presentations:
RGA Actuarial Seminars, Saint Louis, MO
SNDE Conference, Saint Louis, MO
"Computing in Economics and Finance" SEC Conference, Washington
D.C. and Montreal, Quebec
"DSGE Models and Financial Sector" Conference, Eltville
am Rhein
FOMC Briefing, August 2005, St. Louis, MO
SBIES Conference, Saint Louis, MO
Referee: JEDC, JEF
Other Professional Experience:
Visiting Economist, Federal
Reserve Bank of St. Louis, (May 2004 - 2006)
Consultant for mutual fund managers, Eidelman,
Finger & Harris, Inc., (May 2003 - August 2004)
Consultant for the hedge fund President and CEO, Crown Investment partners,
LLC, (August 2001 - March 2004)
Investment Banking Analyst, Stifel Nicolaus, Inc.,
(May 2000 - July 2001)
Awards/honors:
James Ramsey Best Paper Prize at
SNDE Conference, March 2006
Washington University Doctoral Research/Teaching Assistantship, 2001 - 2006
Washington University Doctoral Fellowship, 2000 - 2006
Golden Key National Honor Society
Beta Gamma Sigma Honor Society
Recipient of Honors Program Faculty Invitation for outstanding undergraduate
students
Dean's List at John M. Olin School of Business
Certified winner of many math and professional chess contests through highschool and college, including MAA
Personal:
Hobbies: fitness weight lifting;
intelligent science-fiction shows like Babylon 5 and Star Trek; historical,
and science/nature documentaries by PBS, National Geographic, NOVA, Discovery
Channel; traveling through U.S. National Parks System;
reading semi-scientific publications in such fields as relativity theory,
cosmology, quantum mechanics, AI research, DNA research, quantum computing.
Professional chess player since early childhood
Proud US citizen since 2003
Original spelling of my name in Russian: Ŕíŕňîëčé Áĺëŕéăîđîä (adjust your browser: "View->Character
encoding->Cyrillic")
My wife: ACOG Board Certified OBGYN Dr. Yelena Podorozhansky,
MD currently serves as Director of OB at De Paul SSM Hospital
