Alexander Shapiro, Georgia Tech

Alexander Shapiro is a professor at Georgia Tech teaching and researching stochastic programming. Here is the Publication list from his personal website. Here is the Google r39038Scholar citation page for Shapiro. Here is a 2013 introduction to stochastic programming series of talks delivered in Moscow by Shapiro. The main text is A. Shapiro, D. Dentcheva, A. Ruszczyński: Lecture Notes on Stochastic Programming Modeling and Theory, SIAM and MPS, 2009. There also is a shorter Tutorial on Stochastic Programming w. Philpott.

Commercially there are several vendors offering Stochastic Programming services on Wall Street. Quantitative Risk Management (QRM), Kamakura, Oracle, and IBM come to mind. QRM appears to have originated in Chicago in 1987 and also seems to be a tool used by Capital One Financial (look at their open jobs reqs).  Kamakura is a van Deventer and Robert Jarrow (the J in HJM) company out of Hawaii starting in 1990. Oracle Financial Services  provides a series of Asset Liability Management and Risk services. IBM Algo  advertises managing risk and compliance.

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