Careers in Financial Engineering

Simulation in Financial Engineering

This paper presents an overview of the use of simulation algorithms in the field of financial engineering, assuming on the part of the reader no familiarity with finance and a modest familiarity with simulation methodology, but not its specialist research literature. The focus is on the challenges specific to financial simulations and the approaches that researchers have developed to handle the...

Control and Financial Engineering

The paper provides a review of the basics of financial engineering, with a few examples. We emphasize connections with control theory in a broad sense rather than with stochastic control theory in particular, and the reader is not assumed to be versed in stochastic processes. After a discussion of the main methods of financial risk management, a state-space framework for modeling financial mark...

Handbook of Financial Engineering

Financial Engineering and Economic Development∗

In countries with well functioning credit markets, increases in financial activity often take the form of financial engineering. We use a structural framework to characterize and quantify the connection between financial engineering activities and economic development. In our model, producers split the stochastic cash flows they generate to create securities that appeal to investors with hetero...

Statistical Methods for Financial Engineering

In the narrow Wall Street interpretation, financial engineering refers to the creation of more specialized financial securities out of more fundamental assets such as collections of stocks, bonds, currencies, or mortgages. Used this way, the term now inevitably evokes memories of the mortgage pool “tranches” that became famous during the financial crisis of 2008–2009. In this instance, the paym...