Handbooks in Operations Research and Management Science: Financial Engineering, Volume 15 (Handbooks in Operations Research and Management Science) (Handbooks ... Operations Research and Management Science)

The remarkable growth of financial markets over the past decades has been accompanied by an equally remarkable explosion in financial engineering, the interdisciplinary field focusing on applications of mathematical and statistical modeling and computational technology to problems in the financial services industry. The goals of financial engineering research are to develop empirically realistic stochastic models describing dynamics of financial risk variables, such as asset prices, foreign exchange rates, and interest rates, and to develop analytical, computational and statistical methods and tools to implement the models and employ them to design and evaluate financial products and processes to manage risk and to meet financial goals. This handbook describes the latest developments in this rapidly evolving field in the areas of modeling and pricing financial derivatives, building models of interest rates and credit risk, pricing and hedging in incomplete markets, risk management, and portfolio optimization. Leading researchers in each of these areas provide their perspective on the state of the art in terms of analysis, computation, and practical relevance. The authors describe essential results to date, fundamental methods and tools, as well as new views of the existing literature, opportunities, and challenges for future research.

Drawing on the findings of sector-specific workshops, e-mail surveys, research literature, expert testimony, and committee and panel members& expertise, this National Academy of Engineering study assesses the qualitative impact of academic research on five industries—network systems and communications; medical devices and equipment; aerospace; transportation, distribution, and logistics services; and financial services. The book documents the range and significance of academic research contributions to the five industries—comparing the importance of different types of contributions, the multi- and interdisciplinary nature of these contributions, and the multiple vectors by which academic research is linked to each industry. The book calls for action to address six cross-cutting challenges to university-industry interactions: the growing disciplinary and time-horizon-related imbalances in federal R&D funding, barriers to university-industry interaction in service industries, the critical role of academic research in the advancement of information technology, the role of academic research in the regulation of industry, the impact of technology transfer activities on core university research and education missions, and the search for new pathways and mechanisms to enhance the contributions of academic research to industry. The book also includes findings and recommendations specific to each industry.

"This study was supported by Grant No. 97-3-4 between the National Academy of Sciences and the Alfred P. Sloan Foundation and by the National Academy of Engineering"--Title page verso