A bridge from 120th street to Wall street
Financial engineering is a fascinating interdisciplinary field of research where contributions from applied mathematics, economics, operations research, statistics and computer science have given birth to remarkable developments in market practice. These developments in turn have inspired new problems in each of these fields.
The Center for Financial Engineering (CFE) was established at Columbia University with the goal of encouraging interdisciplinary research on financial engineering and risk management. It also promotes collaboration between Columbia faculty and financial institutions through the organization of research seminars, workshops and the dissemination of research conducted by members of the center.
The CFE takes a broad interpretation of financial engineering that extends beyond the core problem areas of derivatives pricing, portfolio optimization and risk-management. For example, it also considers actuarial mathematics, investment under uncertainty and energy and commodities modeling to be core problem areas of the field. CFE members are also interested in computational and modeling techniques whose applications extend well beyond finance. These techniques include probabilistic modeling, optimization, stochastic control, and statistics and machine learning. The CFE also has a close relationship with the Institute for Data Sciences and Engineering (IDSE) at Columbia University and in particular, with the IDSE's Financial Analytics Center.
The CFE is housed within the Department of Industrial Engineering and Operations Research (IEOR) in Columbia's School of Engineering and Applied Science. Most of the CFE faculty are drawn from the IEOR department and the Decision, Risk and Operations (DRO) division in Columbia's Graduate School of Business. However, the CFE also has members from several other departments including the departments of mathematics, statistics and finance. A more detailed description of financial engineering at Columbia University may be found here.
CFE Co-Directors: Emanuel Derman and Martin Haugh
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