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
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.
Fitting continuous piecewise linear poisson intensities via maximum likelihood and least squares
Zheng, Zeyu & Glynn, Peter. (2017). Fitting continuous piecewise linear poisson intensities via maximum likelihood and least squares. 1740-1749. 10.1109/WSC.2017.8247912.
Random Knockout Tournaments
Ilan Adler, Yang Cao, Richard Karp, Erol A. Peköz, Sheldon M. Ross (2016), Random Knockout Tournaments, INFORMS Operations Research Journal
Optimal placement in a limit order book: an analytical approach
X. Guo, A. de Larrard and Z. Ruan. Optimal placement in a limit order book, an analytical approach, Mathematics and Financial Economics, DOI: 10.1007/s11579-016- 0177-5, 2016.
Optimal execution with multiplicative price impact
X. Guo and M. Zervos. Optimal execution with multiplicative price impact, SIAM Journal on Financial Mathematics, 6(1), 281-306, 2015.
The economic default time and the arcsine law
X. Guo, R. A. Jarrow, and A. de Larrard. Economic default time and the arcsine law, Journal of Financial Engineering, DOI: http://dx.doi.org/10.1142/S2345768614500251, 2014.
A direct reduction of PPAD Lemke-verified linear complementarity problems to bimatrix games
Ilan Adler, Sushil Verma (2013), A direct reduction of PPAD Lemke-verified linear complementarity problems to bimatrix games, arXiv:1302.0067.
The equivalence of linear programs and zero-sum games
Ilan Adler (2012), The equivalence of linear programs and zero-sum games, International Journal of Game Theory.
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