Financial Engineering and Risk Management

Financial engineering (FE)  is a highly interdisciplinary field that makes use of the theoretical developments in financial economics, applied mathematics, operations research, statistics and computer science. The broad and extensive applications of FE have shaped up the entire landscape of financial practice especially in derivative pricing, portfolio management, and risk control. These applications in turn have inspired new problems in FE. In recent years, with an upsurge of developments in artificial intelligence, machine learning and data science, study and applications of financial technology (aka FinTech) have rapidly emerged and become an integral and important part of FE. IEOR offers a thriving research environment and a critical mass in FE rarely to be found in a single university in the country. Research problems include, to name just a few, reinforcement learning in stochastic control, mean-field games, systemic risk, quantitative behavioral finance and principal-agent problems. The department also takes full advantage of its New York location, drawing on expert practitioners for seminars, conference participation, research collaborations and internships for students. Indeed, collaborations with industry go beyond New York, exemplified by the establishment of the new ``FDT Center for Intelligent Asset Management" generously donated by a Hong Kong based FinTech company. 

Research Centers