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Applying Operations Research techniques to financial markets

Applying Operations Research techniques to financial markets
Applying Operations Research techniques to financial markets
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.
finance, professional: OR/MS implementation
0092-2102
12-24
Board, John
a844b0e9-5866-4eac-a052-9590b00c1a43
Sutcliffe, Charles
1a8ec184-d880-492f-8714-7312c6884105
Ziemba, William T.
38e8d045-d247-47c7-965a-c31616450bd8
Board, John
a844b0e9-5866-4eac-a052-9590b00c1a43
Sutcliffe, Charles
1a8ec184-d880-492f-8714-7312c6884105
Ziemba, William T.
38e8d045-d247-47c7-965a-c31616450bd8

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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More information

Published date: 2003
Keywords: finance, professional: OR/MS implementation

Identifiers

Local EPrints ID: 35636
URI: http://eprints.soton.ac.uk/id/eprint/35636
ISSN: 0092-2102
PURE UUID: 39730a71-daca-4c3b-bad8-62e231c580c5

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Date deposited: 22 May 2006
Last modified: 08 Jan 2022 01:06

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Contributors

Author: John Board
Author: Charles Sutcliffe
Author: William T. Ziemba

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