Application of mathematical and computational practices in finance
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The main applications of financial engineering[1][2] are to:
Arbitrage
Corporate finance
Derivatives pricing
Execution
Financial regulation
Portfolio management
Risk management
Structured products
International finance and financial administration
Valuation of options
Financial engineering is a multidisciplinary field involving financial theory, methods of engineering, tools of mathematics and the practice of programming.[3] It has also been defined as the application of technical methods, especially from mathematical finance and computational finance, in the practice of finance.[4]
Financial engineering plays a key role in a bank's customer-driven derivatives business[5]
— delivering bespoke OTC-contracts and "exotics", and implementing various structured products —
which encompasses quantitative modelling, quantitative programming and risk managing financial products in compliance with the regulations and Basel capital/liquidity requirements.
An older use of the term "financial engineering" that is less common today is aggressive restructuring of corporate balance sheets.[citation needed]
Mathematical finance is the application of mathematics to finance.[6] Computational finance and mathematical finance are both subfields of financial engineering.[citation needed] Computational finance is a field in computer science and deals with the data and algorithms that arise in financial modeling.
^Marek Capiski and Tomasz Zastawniak, Mathematics for Finance: An Introduction to Financial Engineering, Springer (November 25, 2010) 978-0857290816
^David Ruppert, Statistics and Data Analysis for Financial Engineering, Springer (November 17, 2010) 978-1441977861
^"MS in Financial Engineering". Columbia University Department of Industrial Engineering and Operations Research. Archived from the original on 2017-01-19. Retrieved 2017-01-18.
^Tanya S. Beder and Cara M. Marshall, Financial Engineering: The Evolution of a Profession, Wiley (June 7, 2011) 978-0470455814
^Qu, Dong (2016). Manufacturing and Managing Customer-Driven Derivatives. Wiley. ISBN 978-1-118-63262-8.
^Cite error: The named reference Dubil was invoked but never defined (see the help page).
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