Professor Gautam Mitra and DrCormac Lucas have worked together since 1984 and have successfully executed many consulting assignment in the domains of Optimisation, Planning under Uncertainty, Asset Allocation and Risk Analytics. In the year 2000 they set up OptiRisk Systems together with a few of their PhD research students. In the early days (2000- 2008) the company used to draw upon the research results of CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications, Brunel University. CARISMA was a world class research centre founded by Professor Mitra. Since 2009 Gautam Mitra has held a visiting Professorship (honorary) in the department of Computer Science (UCL); with Computational Finance specialisation. The source of research results has accordingly shifted. The focus of the leading edge products and services offered by the company have also evolved. Almost all the members of the technical team possess research degrees. The team members are drawn from an international background and between them speak a wide variety of languages, thus enabling OptiRisk to interact with clients from across the globe.
OptiRisk has recently (June 2015) renewed its accreditation by he "Investor in People" Initiative of the UK Government and has achieved Bronze level of the IiP. The company has also been assessed and approved by certified international systems to the quality administration systems, standards and guidelines of BS EN 9000 - 2000..
BEE(JU), MSc (London), PhD (London), FBCS, FRSA, CMATH, FIMA
Founder and Managing Director
Prof Mitra is an internationally renowned research scientist in the field of Operational Research in general and computational optimisation and modelling in particular. He has developed a world class research group in his area of specialisation with researchers from Europe, UK, USA and India. He has published five books and over hundred and fifty research articles. He is an alumni of UCL and currently a Visiting Professor of UCL. In 2004 he was awarded the title of ‘distinguished professor’ by Brunel University in recognition of his contributions in the domain of computational optimisation, risk analytics and modelling. In OptiRisk Systems he directs research and actively pursues the development of the company as a leader in the domain of financial analytics. Professor Mitra is also the founder and chairman of the sister company UNICOM seminars. OptiRisk systems and UNICOM Seminars also have subsidiaries in India. In India and Southeast Asia both the companies are going through a period of organic growth.
BSc, PhD (Brunel)
Dr Lucas has extensive knowledge of Mathematical Optimisation and Software Tools for (algebraic) Optimisation Modelling. He is also a subject expert in the domains of Stochastic Optimisation, Asset and Liability Management (ALM) and Risk Analytics. He has executed many industrial projects on behalf of the company; these include US Coast Guard Cutter Scheduling, ALM project for Insight Investment, Natural Oil Buying (trading) policy for Unilever amongst others. Dr Lucas is one of the lead faculty of the Optimisation / and Stochastic Optimisation training course of OptiRisk Systems. He has many journal publications and has held an academic position at CARISMA, Brunel University, London.
Cristiano Arbex Valle
PhD (Brunel University London), MSc (Universidade Federal de Minas Gerais)
Senior Software Engineer and Consultant
Dr Valle has a bachelor’s degree in Computer Science and an MSc in Operations Research from Universidade Federal de Minas Gerais (UFMG), Belo Horizonte, Brazil. In 2011 Dr Valle joined OptiRisk as a software engineer and a researcher. In the year 2014 Dr Valle obtained his PhD in the department of Mathematical Sciences at Brunel University (UK) on the topic of optimisation techniques and financial modelling. In OptiRisk, Dr Valle contributes in two areas: (i) development and enhancement of FortSP which is acknowledged as the best of breed (Integer) Stochastic Programming solver. He is also (ii) in charge of developing financial analytics products [a] SA-Toolkit and [b] SSD Signals. SAToolkit captures the research results acquired by OptiRisk in the domain of Sentiment Analysis and SSD Signals is based on the company’s research in the domain of Stochastic Dominance. Dr Valle is fluent in Portuguese (his native language) as well as in English; he also has advanced knowledge in Spanish and French.
BSc(Oxon), PhD (Brunel)
Principal Consultant (Retired)
Dr Ellison worked as a Senior Research Associate in CARISMA at Brunel University. He has a long-standing experience of developing large-scale optimisation software and has implemented some world-class systems such as APEX and UIMP. He had implemented large part of the FortMP solver system.Dr Ellison had worked closely and extensively with Professor Mitra and had executed a number of projects on behalf of the company. In particular he constructed Portfolio Planning tools for UBS, State Street Global (Allocate), Fidelity Investment and NAG Ltd. He has a first class honours degree BA(Oxon), from the Queen's College, University of Oxford.
PhD (Brunel University, London) and Diplom (University of Trier, Germany)
Dr Erlwein-Sayer had worked for OptiRisk as an intern during 2008; recently shehas re-joined OptiRisk in 2015 as a visiting researcher working on the topic of financial analytics in general and models and tools for portfolio construction and Asset and Liability Management in particular. Dr Erlwein-Sayer is sponsored under a joint project between OptiRisk Systems and its partner Fraunhofer ITWM in Kaiserslautern, Germany. She completed her PhD in Mathematics at Brunel University, London in 2008. Prior to the current assignment Dr Erlwein-Sayer had presented workshops on behalf of OptiRisk at the IIM Calcutta Financial Research and Trading Laboratory in Kolkata, and also in Mumbai. Dr Erlwein-Sayer was also the lead member of the training partnership between OptiRisk Systems and Fraunhofer ITWM and presented at many of the workshops; notable of these was the training delivered to the World Bank in Washington. Dr Erlwein-Sayer is fluent in German (her native language) and in English.
MSc, PhD (EotvosLorand)
Dr Fabian has 15 years' experience in optimisation and decision support modelling; in particular he specialises in computational models for decision making under risk.
He has an MSc and PhD degrees from EotvosLorand University, Hungary. He is senior researcher at Kecskemet College, Hungary; and lecturer at the Department of Operational Research, EotvosLorand University, Hungary. He supervises PhD researchers at Kecskemet College and is an Advisor to OptiRisk Systems. Dr Fabian speaks Hungarian and English.
MSc (Brunel University, London), MBA (P.U., Lahore), MSc (P.U., Lahore)
Business Development Executive
After completing her MSc Degree in Risk Management and Modeling, CARISMA, Brunel University, Aqeela joined OptiRisk Systems as techno-sales executive. She has previously worked as a lecturer in Physics, as a credit Officer at MCB Bank and as an administrator for FIFA. She has broad experience in quantitative modeling, market and credit risk management and analysis. She is actively involved in lead generation, identification of business growth areas, brainstorming on new business opportunities and following up with customers on various business engagements with OptiRisk.
BSc, Mathematics, MSc, Applied Statistics and Optimisation (University of Bucharest) PhD (Brunel University, London)
Consultant and Research Associate
After completing her PhD under late Professor Darby-Dowman and Professor Mitra, Dr Roman joined OptiRisk Systems as a software developer. She had designed the scenario-generator library which was used inSPInEthe first version of the SP Tool developed by OptiRisk Systems. Together with Professor Mitra she has written a few seminal papers on the topic of portfolio construction with downside risk control in general and use of Second Order Stochastic Dominance (SSD) in particular. Dr Roman is a faculty member of CARISMA, and a lecturer in the department of Mathematical Sciences at Brunel University.Dr Roman is Fluent in Romanian (Native language) and in English.
PhD candidate, MSc (Brunel University, London)
Researcher and Model developer
Zryan obtained his BSc Degree in Mathematics in the Kurdistan region of Iraq. After working as an IT technician, he pursued an MSc Degree in Computational Mathematics with Modelling at Brunel University (2013). Zryan is an industry based PhD student sponsored by OptiRisk. His research focuses on volatility forecasting using Kalman filters and GARCH models. Zryan’s research also involves developing models of sentiment analysis and data analysis in the domain of finance. These models are developed in C, C++, MATLAB, Python and R as appropriate. Zryan is fluent in Kurdish (his native language), as well as in English and Arabic.
PhD and Diplom (University of Kaiserslautern, Germany)
Dr Sayer has joined OptiRisk in 2015 as a visiting researcher working on the topic of financial analytics in general and models and tools for daily trade signal generation in particular. Dr Sayer is sponsored under a joint project between OptiRisk Systems and its partner Fraunhofer ITWM in Kaiserslautern, Germany. He completed his Diplom (MSc equiv., 2008) and his PhD (2012) in Financial Mathematics at the University of Kaiserslautern, Germany. Prior to the current assignment Dr Sayer had presented workshops on behalf of OptiRisk at the IIM Calcutta Financial Research and Trading Laboratory in Kolkata, and also in Mumbai. On behalf of Fraunhofer ITWM, Dr Sayer has worked on a risk management project so that the clients’ financial tools are UCITS IV compliant. He has also worked on a project to accelerate the hardware performance of the stochastic volatility model of Heston. Dr Sayer is fluent in German (his native language) and in English.
PhD (Brunel University London), MSc (Politecnico di Milano)
Principal Software Engineer
Dr Valente has a bachelor’s degree , first class honours in Computer Science and subsequently an MSc in Artificial Intelligence from Politecnico di Milano, Italy (2004). He was a sponsored industry based PhD research student in Mathematical Sciences, at Brunel University. He joined OptiRisk Systems in 2005 ; the company, as the managing partner of the WEBOPT project (CRAFT programme of EU) sponsored his PhD research. Dr Valente’s PhD research was on the topics of Stochastic Programming and parallel computing. Dr Valente leads the design team for AMPL IDE and Stochastic AMPL (SAMPL) . These flagship products have been developed under contract from AMPL Optimization Inc. who are also a Partner of OptiRisk Systems. Dr Valente has designed and developed many optimisation based decision support systems and substantial industrial risk protection systems and acts as the main technological advisor for external projects. Dr Valente is fluent in Italian (his native language) and English and is also proficient in German.
PhD (Brunel University, London)
Business Development Techno Executive
Dr Yu joined OptiRisk in 2014 after completing her PhD in Mathematics at Brunel University. Her research interests are in sentiment analysis, predictive analytics and market microstructure and their applications in financial analytics. She conducts client facing applied research; she is also in charge of all aspects of acquiring market data and news metadata. Xiang and Professor Mitra are co-editors of the forthcoming “Handbook of Sentiment Analysis in Finance”. She is fluent in Chinese Mandarin (her native language) and English.