Research and Education in Financial Engineering

该项目关注金融工程的方法论和应用两个方面。目标是开发新的和原创的方法来评估复杂的金融产品，管理金融风险，并评估投资机会。该项目将侧重于以下问题：开发描述资产价格和金融变量动态的随机模型；开发新的、强大的分析和计算工具，以对复杂的衍生品工具(特别是路径依赖和多变量合同)进行估值，并管理衍生品交易的风险；衍生品定价的特征函数展开方法；调查金融工程中的模型风险问题；能源行业的金融工程；金融工程中的随机优化方法，包括考虑交易成本和税收的投资组合管理，以及动态资产/负债管理；以及在制造业和服务业中的实物期权应用。为了满足国家对金融工程专业人员的高级培训的需求，该项目的教育部分建议在西北大学开发一个从本科到博士的综合金融工程课程，并在西北大学开设一个新的金融工程博士专业，作为IEMS博士课程的一部分。金融工程学科包括应用数学和统计建模和计算技术来解决金融服务业以及非金融公司和公共机构的财务管理问题。这个项目勾勒出了未来三年的广泛研究计划。此外，它还概述了课程开发工作，包括一个新的金融工程博士专业。该项目将支持新的博士项目。该项目是西北大学在金融工程领域的长期发展努力的一部分。本项目开发的建模方法、分析结果和计算算法将帮助金融机构、公司财务和能源公司准确评估衍生品证券、评估模型风险、管理投资组合、管理资产和负债，并将实物期权技术应用于企业估值和战略管理决策。教育和课程开发工作将培养高素质的人才，以增强美国金融服务业的竞争力。

This project focuses both on methodological and applied aspects of financial engineering. The goal is to develop new and original methods to value complex financial products, manage financial risks, and evaluate investment opportunities. The project will focus on the following problems: developing stochastic models to describe dynamics of asset prices and financial variables; developing new, powerful, analytical and computational tools to value complex derivative instruments (path-dependent and multi-variable contracts in particular) and manage risks of derivatives transactions; the eigenfunction expansion approach to derivatives pricing; investigating the issue of model risk in financial engineering; financial engineering for the energy industry; stochastic optimization methodologies in financial engineering, including investment portfolio management under transaction costs and taxes, and dynamic asset/liability management; and real options applications in manufacturing and service industries. To address the national need for advanced training of specialists in financial engineering, the educational component of the project proposes to develop a comprehensive financial engineering curriculum at Northwestern, from the beginning undergraduate to the doctoral level, and create a new Ph.D. major in financial engineering as a part of the IEMS Ph.D. program at Northwestern.The discipline of financial engineering includes applications of mathematical and statistical modeling and computational technology to problems in the financial services industry and financial management of non-financial corporations and public institutions. This project outlines a broad research program for the next three years. Additionally, it outlines a curriculum development effort, including a new Ph.D. major in financial engineering. This project will support the new Ph.D. program. This project is a part of a long-term development effort at Northwestern in the area of financial engineering. Modeling methodologies, analytical results, and computational algorithms developed in this project will help financial institutions, corporate treasuries, and energy companies accurately value derivative securities, assess model risk, manage investment portfolios, manage assets and liabilities, and apply real options technology to the valuation of businesses and strategic managerial decisions. The education and curriculum development efforts will result in training of highly qualified personnel to enhance competitiveness of the U.S. financial services industry.