Applying Operations Research techniques to financial markets

Board, John, Sutcliffe, Charles and Ziemba, William T. (2003) Applying Operations Research techniques to financial markets. Interfaces: An International Journal of the Institute for Operations Research & Management Sciences, 33 (2), 12-24. (doi:10.1287/inte.33.2.12.14465).

Record type: Article

Abstract

OR techniques are applied to nonportfolio problems in financial markets, such as the equity, debt, and foreign exchange markets and the corresponding derivatives markets. Finance problems are an excellent application area for OR researchers. OR techniques are used to value financial instruments, identify market imperfections, design securities, regulate markets, evaluate and control risks, model strategic problems, and understand the functioning of financial markets. Mathematical programming is probably the most widely applied OR technique, but Monte Carlo simulation methods are of increasing importance. With the improvements in the real-time availability of data and the power of computers, the role of OR techniques in financial markets can only increase.

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