Golembiovsky Dmitry Yuryevich

Lomonosov Moscow State University, Faculty of calculus mathematics and cybernetics, Department of a research of operations, professor, since September 3,2012, incombination

Doctor of Engineering since 2006

professor of department since December 30, 2013.

Coauthors: Denisov D.V., Petrov A. S., Abramov A.M., Kurenna D.S., Ogneva D.S., Hooks N.S., Antonov E.P., Nimak V.S., Tenetnik O.S., Baryshnikov I., Trachuk A.V., Shevelyov S.A., Shepelev S.N. to show completely...

24 articles, 1 book, 18 reports at conferences, 5 theses of reports, 1 research, 1 award, 1 membership in scientific organization, 1 membership in a magazine editorial board, 2 memberships in program committees, 4 theses, 12 theses, 2 training courses

The number of citings articles in magazines according to Scopus: 0

Articles in magazines

2018 Option Portfolio Management in a Risk-Neutral World

Golembiovsky D.J., Abramov A.M.

Journal of Mathematical Finance magazine, volume 8, No. 4 DOI

2018 Assessment of probability of a default of the company on the basis of system and dynamic model

Kurennoy D.S., Golembiovsky D. Yu.

Issues of Risk Analysis, volume 15, No. 2, page 86-92

2018 Calculation of awards of options on the basis of ARIMA-GARCH of models of yield on a basic asset

Ogneva D.S., Golembiovsky D. Yu.

Applied mathematics and informatics: Works of faculty ofVMKLomonosovMoscowStateUniversity/ Under the editorship of D.P. Kostomarov and V.I. Dmitriyev. M.: MAX. Press, No. 57, page 94-111

2017 On Solving the Problem of Optimal Probability Distribution Quantization

Dmitry Golembiovsky, Dmitry Denisov, Evgeny Antonov

CEUR Workshop Proceedings magazine, M. Jeusfeld publishing house with / o Redaktion Sun SITE, Informatik V, RWTH Aachen (Aachen,Germany), volume 1987, No. 8, page 217-223

2017 Creation of scenarios of a default of the enterprises on the basis of system and dynamic models in the insightmaker system

Kurennoy D.S., Golembiovsky D. Yu.

Applied informatics, volume 12, No. 5, page 11-28

2017 System and dynamic model of credit risk of the oil-extracting and oil refining company

Kurennoy D.S., Golembiovsky D. Yu.

Issues of Risk Analysis, volume 14, No. 1, page 6-22

2016 Modeling futures price dynamics on the RTS and MICEX indices

Golembiovskiy D.Yu, Denisov D.V., Petrovykh A.S.

Moscow University Computational Mathematics and Cybernetics publishing house Allerton Press Inc. (United States), Vol. 40, № 4, p. 171-178

2016 Modeling of dynamics of the future prices of the RTS Indexes and MICEX

Golembiovsky D. Yu., Denisov D.V., Petrov A. S.

Bulletin of theMoscowUniversitymagazine. Series 15: Calculus mathematics and cybernetics, Mosk Publishing house publishing house. un-that (M), No. 4

2012 Prospects of distribution of non-cash retail payments

Trachuk A.V., Golembiovsky D. Yu.

Money and credit, publishing house Finance and statistics (M), No. 7, page 24-32

2011 Model of management of the portfolio of options

Golembiovsky D. Yu., Abramov A.M.

Management of Risk magazine, Ankil publishing house (M), No. 4, page 43-56

2010 STRESS TESTING OF THE PORTFOLIO OF SHARES OF THE RUSSIAN FUNDS OF COLLECTIVE INVESTMENT

Golembiovsky D. Yu., Tenetnik O.S.

Issues of Risk Analysis, volume 7, No. 1, page 30-49

2008 FORMATION OF THE PORTFOLIO OF SHARES MUTUAL FUND AND OFBU ON THE BASIS OF THE THEORY OF THE PORTFOLIO

Golembiovsky D. Yu., Tenetnik O.S.

Management magazine in credit institution, No. 2, page 63

2007 Forecasting exchange prices of options

Golembiovsky D.

Communications in dependability and quality management, Vol. 10, № 2, p. 59-79

2006 VOLATILITY SMILE AT THE RUSSIAN OPTION MARKET

Golembiovsky D., Baryshnikov I.

Journal of Business Economics and Management, publishing house North-German Academy of Informatology (Germany), Vol. 7, № 1, p. 9-15

Articles in collections

2018 Estimating the probability of company default based on system dynamics model

Kurennoy D.S., Golembiovskiy D.Yu

in the collection IX Moscow International Conference on Operations Research (ORM2018-Germeyer100). Moscow, October 22-27, 2018. Proceedings. In 2 volumes, publishing house LLC MAKS Press (Moscow), Vol. 1, с. 218-222

2018 Estimating the probability of company default based on system dynamics model

Kurennoy D.S., Golembiovskiy D.Yu

in the collection IX Moscow international conference on a research of operations (ORM2018): Moscow, October 22-27, 2018.: Works , LLC MAKS Press (Moscow), Vol. 1, p. 218-222

editors Vasin Alexander Alekseyevich, Izmailov Alexey Feridovich

2018 Modeling of exchange order flows

Nimak V.S., Golembiovsky D.J.

in the collection the IX Moscow international conference on a research of operations (ORM2018):Moscow, on October 22-27, 2018: Works, place of the edition of OOO "MAX. Press" Moscow, volume 1, page 199-204

editors Vasin Alexander Alekseyevich, Izmailov Alexey Feridovich

2018 Parameter estimation of ARIMA-GARCH model with variance-gamma distribution in financial series: expectation-maximization algorithm

Ogneva D.S., Golembiovskiy D.J.

editors Vasin Alexander Alekseyevich, Izmailov Alexey Feridovich

2017 MATHEMATICAL DISTRIBUTION MODEL OF ORDERS FOR PASSENGER TRAFFIC

BagrovN.S., Denisov D.V., Golembiovsky D. Yu.

in the collection KOEVOLYUTION All-Russian scientific MODELLING conference of the NATURE AND SOCIETY: PROBLEMS AND EXPERIENCE. To the 100 ANNIVERSARY SINCE THE BIRTH OF the ACADEMICIAN N.N. Moiseyev (MOISEYEV – 100) Moscow, on November 7-10, 2017 WORKS, the Proceedings of All-Russia scientific conference series, the place of the FRC CSC RAS edition Moscow, page 191-2001

2016 Principal component analysis and multivariate time series

Golembiovskiy D.Yu, Denisov D.V., Petrovykh A.S.

in the collection VIII Moscow International Conference on Operations Research (ORM 2016),Moscow, October 17-22, 2016. PROCEEDINGS, place of the MAX. edition Press Moscow, volume 1, page 144-144

2016 MODELLING OF DYNAMICS OF THE BOOK OF WARRANTS

Nimak V.S., Golembiovsky D. Yu.

in the collection Collection of materials IX of the All-Russian scientific EKOMOD-2016 conference, place of the editionKirov, page 276-280

2016 MODELLING OF THE RUSSIAN BOND MARKET

Golembiovsky D. Yu., Antonov E.P.

in the collection Collection of materials IX of the All-Russian scientific EKOMOD-2016 conference, place of the editionKirov, page 111-116

2013 Options Portfolio Management as a chance constrained problem

Golembiovsky D., Abramov A.

in the collection Stochastic Programming: Applications in Finance, Energy, Planning and Logistics, place of the World Scientific Publishers edition, page 155-172

Books

2013 Derivatives

Golembiovsky Dmitry Yuryevich

place of the Synergy Press Moscow edition, ISBN 978-5-94416-146-8, 144 pages.

Reports at conferences

2018 Estimating the probability of company default based on system dynamics model

Kurennoy D.S., Golembiovskiy D.Yu

IX Moscow international conference on the Research of Operations (ORM2018-Germeyer100),Moscow,Russia, on October 22-27, 2018

2018 Modeling of exchange order flow

Nimak V.S., Golembiovsky D.Yu

IX Moscow international conference on the Research of Operations (ORM2018-Germeyer100),Moscow,Russia, on October 22-27, 2018

2018 Parameter estimation of ARIMA-GARCH model with variance-gamma distribution in financial series: expectation-maximization algorithm

Ogneva D.S., Golembiovskiy D.Y.

IX Moscow international conference on the Research of Operations (ORM2018-Germeyer100),Moscow,Russia, on October 22-27, 2018

2018 The strategy of hedging of the percentage risk based on camber of portfolio value, consisting of a percentage swap and bonds

Golembiovsky D. Yu., Dobrovolsky V.M.

Lomonosov readings-2018, section "Calculus Mathematics and Cybernetics",Lomonosov Moscow State University,Russia, on April 16-27, 2018

2017 Forecasting of the prices of options

Golembiovsky D. Yu., Bayramkulov A.A.

Lomonosov readings - 2017,Lomonosov Moscow State University,Russia, on April 17-26, 2017

2017 Economic model of economy ofRussia

Golembiovsky D. Yu., Danilishin A.R.

Lomonosov readings - 2017,Lomonosov Moscow State University,Russia, on April 17-26, 2017

2016 System and dynamic modeling of credit risk of the corporate borrower (on the example of PJSC Bashneft).

Kurennoy D.S., Golembiovsky D. Yu.

XIIRussiaRisk Conference,Moscow,Russia, on October 20, 2016

2016 Principal component analysis and multivariate time series

Golembiovskiy D.Yu, Denisov D.V., Petrovykh A.S.

VIII Moscow international conference on the Research of Operations (ORM2016),Moscow,Russia, on October 17-22, 2016

2016 FUTURES PORTFOLIO MANAGEMENT BASED ON STOCHASTIC PROGRAMMING

Golembiovsky D., Bezruchenko T.

14th International Conference on Stochastic Programming, June 25 - July 1,2016 inBuzios, Brazil, Buzios, Brazil, on June 25 - on July 1, 2016

2016 ARIMA-GARCH models of dynamics of quotations of future contracts for the RTS Indexes and MICEX

Golembiovsky D. Yu., Denisov D.V., Petrov A. S.

Lomonosov readings - 2016,Lomonosov Moscow State University,Russia, on April 18-27, 2016

2014 Pricing of future contracts for indexes of MICEX and RTS (Oral)

Golembiovsky D. Yu., Petrov A. S.

Scientific conference "Tychonoff Readings 2014", faculty ofVMK Lomonosov Moscow State University,Russia, on October 27-31, 2014

2013 OPTIONS PORTFOLIO MANAGEMENT ON THE BASIS OF STOCHASTIC PROGRAMMING (Устный)

Golembiovsky D. Yu., Abramov A.M.

7Moscowinternational conference on a research of operations,Moscow,Russia, 2013

2013 Management of Portfolio of Options With Two Expiration Dates

Golembiovsky D., Abramov A.

XIII International Conference on Stochastic Programming ,Bergamo, Италия, 8-12 июля 2013

2010 OPTIONS PORTFOLIO MANAGEMENT AS A CHANCE CONSTRAINED PROBLEM

Abramov M., Golembiovsky D.

12th International Conference on Stochastic Programming,Halifax,Nova Scotia,Canada, on August 16-20, 2010

2007 AN ON-LINE SYSTEM FOR DERIVATIVE PORTFOLIO MANAGEMENT

Golembiovsky D.

11th Conference on Stochastic Programming (SPXI),Vienna,Austria, on August 27-31, 2007

Theses of reports

2017 Not displaced VALUE-RISK estimates

Denisov D.V., Golembiovsky D. Yu., Petrov A. S.

collection Tychonoff readings: scientific conference: theses of reports (on October 23 - on October 27, 2017), the place of the MAX. edition Press Moscow, theses, page 69-70

2017 Solution of a problem of distribution of orders for passenger traffic

Denisov D.V., Hooks N.S., Golembiovsky D. Yu.

collection Tychonoff readings: scientific conference: theses of reports (on October 23 - on October 27, 2017), the place of the MAX. edition Press Moscow, theses, page 68-69

2014 RISK MANAGEMENT SYSTEM OF THE PORTFOLIO OF DERIVATIVES OF THE FINANCIAL INSTRUMENT

GOLEMBIOVSKY YU.1, PETROV A. S. 2, SHEPELEV OF PAGE N.3, SHEPELEVA OF I.S.

collection Theory of active systems Materials of the international scientific and practical conference. under the general edition of V.N. Burkov, the place of the editionMoscow, theses, page 300-301

2014 RISK MANAGEMENT SYSTEM OF THE PORTFOLIO OF DERIVATIVES

Golembiovsky D. Yu., Petrov A. S., Shepelev S.N., Shepeleva I.S.

collection Theory of active systems Materials of the international scientific and practical conference. under the general edition of V.N. Burkov, the place of the editionMoscow, theses, page 300-301

2013 Options portfolio management on the basis of stochastic programming

Golembiovsky D. Yu., Abramov A.M.

collection the VII Moscow international conference on a research of operations (ORM2013):Moscow, on October 15-19, 2013: Works., place of the Press edition MAKC,Moscow, volume 1, theses, page 145-148

editor Izmailov Alexey Feridovich

Research and developments

On August 11, 2017 - on December 21, 2017 Development and drawing up examination questions and tasks according to the program of training of actuaries in International association

Department of risk management and insurance

Head: Kotlobovsky I.B. Executive: Denisov D.V. Participants of research: Arkhipova E.Yu., Belolipetsky A.A., Belyankin G.A., Belyankina T.V., Varshamova V.G., Golembiovsky D. Yu., Denisov D.V., Palinkash L.V., Pospelova I.I., Sablukova Yu.G.

Awards and awards

2007 Financial Risk Manager

Winner: Golembiovsky D. Yu.

GARP, США

Membership in scientific organizations

since 2015 Euro working group oт stochastic optimization

Great Britain

Participation in an editorial board of magazines

since January 3, 2011 Management of financial risks

Participation in program committees of conferences

On November 17-19, 2015 the THIRTEENTH INTERNATIONAL SCHOOL OF SCIENCES INST. PETERSBURG

Member of program committee

St. Petersburg,Russia

On September 12-21 2015 IX International school symposium Analysis, Modelling, Management, Development of economic systems (AMUR-2015)

Member of program committee

Sevastopol,Russia

Management of theses

2012 MANAGEMENT OF THE PORTFOLIO OF OPTIONS ON THE BASIS OF MULTI-STAGE STOCHASTIC PROGRAMMING

Master's thesis in the specialty 08.00.13 - Mathematical and tool methods of economy (экон. sciences)

Author: Abramov Anatoly Markovic

Research supervisor: Golembiovsky D. Yu., Dr.Sci.Tech., prof.,LomonosovMoscowStateUniversity

It is protected in council D 521.042.02 at theMoscowfinancial and industrial academy

The organization in which work was performed: MFPU "Synergy"

Leading organization: FGOBU VPO "Financial University under the Government of theRussian Federation",Moscow

Opponents: Mishchenko Alexander Vladimirovich, Ivliyev Sergey Vladimirovich

2010 THE STRATEGY OF EFFECTIVE INVESTMENT OF FUNDS IN FUNDS

Master's thesis in the specialty 08.00.10 - Finance, monetary circulation and credit (экон. sciences)

Author: Tenetnik O.S.

Research supervisor: Golembiovsky D. Yu., Dr.Sci.Tech., prof.,LomonosovMoscowStateUniversity

It is protected in council D 521.042.02 at theMoscowfinancial and industrial academy

The organization in which work was performed: Synergy university

Leading organization: Academy of national economy at the Government of theRussian Federation

Opponents: Burenin Alexey Nikolaevich, Rogov Mikhail Anatolyevich

2010 The strategy of effective investment of funds in funds of collective investment

Master's thesis in the specialty 08.00.10 - Finance, monetary circulation and credit (экон. sciences)

Author: Tenetnik Oleg Sergeyevich

Research supervisor: Golembiovsky D. Yu., Dr.Sci.Tech., prof.,LomonosovMoscowStateUniversity

It is protected in council D 521.042.02 at theMoscowfinancial and industrial academy

The organization in which work was performed: Moscow Financial and industrial Academy

Dissertation

2006 Models, strategy and control systems of a portfolio of derivatives

Doctoral dissertation in the specialty 05.13.10 - Management in social and economic systems (техн. sciences)

Author: Golembiovsky D. Yu., Dr.Sci.Tech., prof.,LomonosovMoscowStateUniversity

Scientific consultant: Zavriyev S.K.

It is protected in council D 002.226.02 at Institute of problems of management of V.A. Trapeznikov of RAS

The organization in which work was performed:LomonosovMoscowStateUniversity

Leading organization: Institute of the System Analysis (ISA) of RAS

Opponents: Mandel A. S., Ereshko F.I., Kryanev A.V.

Management of theses

2018 Hedging of a portfolio of percentage assets and liabilities of bank

Research supervisor: Golembiovsky Dmitry Yuryevich

Author: Ananyev Sergey Vasilyevich (Bachelor)

2018 The system of optimum distribution of drivers maximizing the profit of the company of the aggregator taxi

Research supervisor: Golembiovsky Dmitry Yuryevich

Author: Madiyar Sungatuly Toleugali (Bachelor)

2018 Application of genetic algorithms for construction a stress scenarios of a portfolio of borrowers on the basis of their system and dynamic models