Financial Engineering

Financial Engineering concerns the development and application of mathematical models and methods for the design and analysis of financial markets, instruments, strategies, and regulations. Fundamental operations research tools of optimization, stochastic modeling, simulation, dynamic programming, and game theory drive much innovation in the financial engineering area and enjoy wide use by finance industry firms, regulatory agencies, and other organizations that employ financial markets to manage capital and risk. Past examples that have generated broad impact include portfolio optimization methods, stochastic models and simulation methods for asset pricing and risk analysis, and dynamic programming methods for trade execution. The evolving nature of financial markets continually gives rise to new challenging problems, while advances in fundamental operations research tools and computer technology continually give rise to new opportunities.

We invite papers that advance the state-of-the-art of models, methods, and their application. We especially encourage submission of papers that address emerging needs such as the measurement and management of systemic risk; the design, use, and regulation of trading venues; and the engineering and analysis of new financial instruments. We also encourage submission of papers that make major methodological advances that are of broad interest to financial engineering researchers and practitioners. Papers should represent original contributions that significantly advance the theory or practice of financial engineering.

Associate Editors: Mark Broadie, Dave Brown, Kay Giesecke, Martin Haugh, Andrew Lim, Ciamac Moallemi, and Xunyu Zhou