Financial Systems Research
Financial engineering concerns the application of analytical, statistical, and computational methods to solve problems in financial economics. It is a multidisciplinary field that draws on tools from applied mathematics, computer science, statistics, and economic theory. Faculty at UC Berkeley IEOR conduct various research projects in credit risk, real options, high-frequency trading, and portfolio management. These research activities have been broadly supported by the National Science Foundation, National Security Agency, and various industry partners including Bloomberg and the NASDAQ OMX educational group. The research team attracts the best quality and highly motivated students, who go through rigorous and deep analytical training in mathematics and statistics, and develop proficiency in hand-on skills such as programming. Over the last decades, they have been aggressively recruited by the top investment banks around the globe as well as high-tech firms including Google and Facebook.
Faculty
Selected Publications
Equilibria and incentives for illiquid auction markets
Derchu, Joffrey & Kavvathas, Dimitrios & Mastrolia, Thibaut & Rosenbaum, Mathieu. (2023). Equilibria and incentives for illiquid auction markets.
Immediacy Provision and Matchmaking
An, Yu and Zheng, Zeyu, Immediacy Provision and Matchmaking (January 19, 2022). Available at SSRN: https://ssrn.com/abstract=2868280 or http://dx.doi.org/10.2139/ssrn.2868280
Interbank lending with benchmark rates: Pareto optima for a class of singular control games
, , . Interbank lending with benchmark rates: Pareto optima for a class of singular control games. Mathematical Finance. 2021; 31: 1357– 1393. https://doi.org/10.1111/mafi.12325
Transaction cost analytics for corporate bonds
X. Guo, C.A. Lehalle, R. Xu, “Transaction cost analytics for corporate bonds”. Quantitative Finance, 2022.
Agency problem and mean field system of agents with moral hazard, synergistic effects and accidents
Mastrolia, Thibaut & Zhang, Jiacheng. (2022). Agency problem and mean field system of agents with moral hazard, synergistic effects and accidents.
AHEAD : Ad-Hoc Electronic Auction Design
Derchu, Joffrey & Guillot, Philippe & Mastrolia, Thibaut & Rosenbaum, Mathieu. (2020). AHEAD : Ad-Hoc Electronic Auction Design.
Method of Moments Estimation for Lévy-driven Ornstein-Uhlenbeck Stochastic Volatility Models
Zeyu Zheng, Xiangyu Yang, Yanfeng Wu, and Jian-Qiang Hu. Method of Moments Estimation for Lévy-driven Ornstein-Uhlenbeck Stochastic Volatility Models. Probability in the Engineering and Informational Sciences. https://doi.org/10.1017/S0269964820000315.
Heterogeneous Assets Market Design
Y. An and Z. Zheng, “Heterogeneous Assets Market Design,” 2019 Winter Simulation Conference (WSC), National Harbor, MD, USA, 2019, pp. 974-983, doi: 10.1109/WSC40007.2019.9004708.
Heterogeneous Assets Market Design
Y. An and Z. Zheng, “Heterogeneous Assets Market Design,” 2019 Winter Simulation Conference (WSC), National Harbor, MD, USA, 2019, pp. 974-983, doi: 10.1109/WSC40007.2019.9004708.
Random Knockout Tournaments
Ilan Adler, Yang Cao, Richard Karp, Erol A. Peköz, Sheldon M. Ross (2016), Random Knockout Tournaments, INFORMS Operations Research Journal