The School of Operations Research and Industrial Engineering (ORIE) has activities at all levels in Financial Engineering. In the School, a team of scholars does research in the area, including Professors R. Durrett, S. Henderson, R. Jarrow, P. Protter, D. Ruppert, S. Resnick, G. Samorodnitsky, S. Weber and M. Wells.

The curriculum offers courses related to Financial Engineering at all levels, from basic probability, simulation, statistics and stochastic processes for Undergraduates and Masters students – to stochastic calculus with financial applications, advanced stochastic processes, etc., and specialized courses in topics such as Credit Risk, Commodities Pricing and Hedging, Calibration Techniques and Data Mining, etc. for Doctoral students.

A major course activity for the Masters students devotes a full semester to team based projects for real financial services clients. Projects have been sponsored by leading firms including Barra (now part of Morgan Stanley), Morgan Stanley, Capital One, Deutsche Bank, JP Morgan, Lehman Brothers, Grupo Uno, Smith Barney, Credit Suisse First Boston, Bank of America, etc.

Current research by Cornell and other investigators is shared in various seminars and colloquia that are open to all. The weekly Financial Engineering Seminar has leading speakers from both academia and the business community. It is broadcast from Ithaca to Manhattan. A series of evening lectures is offered free-of-charge to the professional community in collaboration with the University of Waterloo, once a month in the evening. The evening lecture seminar is in Manhattan at the OR Manhattan on Broad Street, and is broadcast to Ithaca and Waterloo. The Probability Seminar, run by the Mathematics Department, often has speakers of interest, as do the colloquia of ORIE and the Mathematics, Applied Mathematics, and Statistics Departments. The Johnson Graduate School of Management offers a Friday seminar series as well.

Speakers working in the financial services industry visit ORIE each Spring in connection with the Masters of Engineering project course and throughout the year for the Enterprise Engineering Colloquium.

Master of Engineering in Financial Engineering Concentration

ORIE offers a popular degree program in Financial Engineering as a Concentration within the Master of Engineering in Operations Research and Industrial Engineering. This program synthesizes the learning from basic technical courses in ORIE and investment finance courses at the Johnson School to achieve a high level of mathematical technique applied to practical problems in Financial Engineering.

ORIE Faculty also direct Ph.D. theses on a variety of topics in Financial Engineering. Current research interests of the faculty and Ph.D. students in ORIE include:

• Derivative pricing and hedging in incomplete markets
• Quantitative risk management
• Optimal investment research
• Credit Risk
• Liquidity Risk
• Operational Risk
• Model Risk
• Statistics and calibration
• Data mining of financial data
• Models with heavy tails
• Simulation and computational finance