Javier
Pena (Ph.D. Cornell University 1998): My area of expertise is
continuous optimization.
My recent research has focused on condition numbers for convex
optimization.
The goal of this research is to address central topics in
numerical analysis
-- such as perturbation theory, numerical stability and complexity -->
-- of algorithms
-- in the continuous optimization context.
Recently I have become interested in exploring the use of optimization techniques and perspective to address mathematical finance problems. In particular, I am interested in exploring the use of variational and optimization tools in risk management and optimal portfolio theory.
