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发表于 2003-8-16 22:16:59 |只看该作者 |倒序浏览

The Field of Financial Engineering

Financial engineering is the design, development, and implementation of innovative financial products and of financial processes in the major market segments of currency, interest rates, equities, and commodities, for trading, investment, hedging, and risk management. Within this cross-disciplinary field, finance considers returns, risks and transaction costs, economics brings into focus aspects of equilibrium and preference optimization under incomplete markets, mathematics provides analytics and equivalent martingale measures, physics considers solutions for heat equation PDEs and path integral methods, computational science offers fast computational methods and technology, and engineering considers Fourier transforms, wavelets, neural nets, and visualization. The list goes on.

A New Profession

Financial engineers in Wall Street and London have already established themselves as highly demanded and highly paid professionals of a brand new genre. Major development of ideas and thinking in financial economics coupled with gigantic advances in computer and information technology has transformed global financial markets over the last two decades. Financial Engineers apply advanced mathematical methods and computer technology to financial markets and financial management. Key financial engineering applications include, but are not limited to the following.

·       modeling and forecasting of financial markets

·       derivative instruments and securities pricing and hedging

·       estimation and control of financial risk management

·       asset allocation and investment management

·       arbitrage and hedge fund trading

·       asset/liability management

·    asset securitization

·       quantitative issues in corporate and public financial policy

·       computer and information technology in financial services industry

·    artificial intelligence and financial data mining and visualization

David W. Mullins, Jr., former Vice Chairman of the Federal Reserve, noted: "When one assesses this field, I think it is not hyperbole to suggest that the development and growth of financial derivatives constitute one of the most dramatic success stories in modern economics." (Remarks on the Global Derivatives Study Sponsored by the Group of Thirty, 1993). By 1994, the size of the global derivatives market is over US$35 trillion in notional amount, as compared to the US$48 trillion global market in traditional securities (bonds, cash and equity). By 1998, the OTC derivatives market trading volume was estimated at US$70 trillion. Some of these estimates and news are contained in http://www.bis.org/press/.

Essentially Finance

The domain knowledge of Financial Engineering is essentially finance. This is seen from the fact that financial engineers basically work in the finance, banking, and securities industry. However, the trade tools of Financial Engineering must come from the analytically deeper field of Mathematics and Statistics, and the technology must come from Computer Science and Engineering.

However, Financial Engineering is clearly an interdisciplinary field, and derives its core strengths from the more traditional disciplines of finance, economics, mathematics, statistics, computer science, physics, and engineering. A successful practicing financial engineer must learn to combine strengths in the various traditional disciplines in order to solve the diverse dimensions of real-life practical problems of industry.

Career Opportunities for Financial Engineers

A wide range of career opportunities is available to financial engineers.

·  commercial and investment banks

·  brokerage and investment firms

·  insurance companies

·  consulting and investment firms

·  treasury departments of non-financial corporations

·  public institutions, such as federal government agencies, state and local governments, municipalities and international organizations

·  software and technology vendors providing products and services to financial industry

The demand for competent financial engineers is especially strong among Wall Street firms in New York and among financial firms in London and Paris. In fact, the field of financial engineering has grown tremendously with the same speed as the globalization process in world financial markets in the 1990’s. The USA International Association of Financial Engineers reported the following mostly postgraduate degree programs in financial engineering, including the closely related programs in financial mathematics and computational finance. The list is updated as of July 2001 and the list is growing fast worldwide.

University Programs and Courses

The following educational institutions offer degree or certificate programs in Financial Engineering.

·       University of California, Berkeley
Masters in Financial Engineering

·       Carnegie Mellon University
Master of Science in Computational Finance
Ph.D. Program in Mathematical Finance

·       University of Chicago
Master of Science in Financial Mathematics

·       City University of Hong Kong
Master of Science in Financial Engineering

·       Claremont Graduate University
Master of Science in Financial Engineering

·       Columbia University
M.S. in Industrial Engineering and M.S. in Operations Research, concentration in Financial Engineering
Master of Arts Degree in Mathematics With Specialization in the Mathematics of Finance

·       Cornell University
Financial Engineering Certificate Program

·       Depaul University
Master of Science in Finance/Risk Management/Financial Engineering

·       Dublin City University
Master of Science in Financial Mathematics

·       University of Edinburgh
Master of Science in Financial Mathematics

·       Florida State University
Master of Science in Financial Mathematics

·       Georgia Institute of Technology
Master of Science in Quantitative and Computational Finance

·       Glasgow Caledonian University
Bachelor of Science in Financial Mathematics

·       HEC, Montreal
Master of Science in Financial Engineering

·       ISMA Centre, the Business School for Financial Markets
MSc Financial Engineering and Quantitative Analysis

·       The Karol Adamiecki Academy of Economics
Master of Financial Engineering and Banking

·       University of Lausanne
Certificate in Financial Asset Management and Engineering

·       Massachusetts Institute of Technology
MBA with Financial Engineering Track

·       University of Michigan
Master of Science in Financial Engineering

·       National University of Singapore

   Bachelor of Science in Computational Finance

   Master of Science in Financial Engineering

·       Nanyang Technological University, Singapore
Master of Science in Financial Engineering

·       New York Universityhttp://www.math.nyu.edu/financial_mathematics/
Masters Program in Mathematics in Finance

·       New York University Stern School of Business
MS in Statistics and Operational Research, Financial Engineering Specialization

·       Oregon Graduate Institute of Science and Technology
Master of Science in Computational Finance

·       University of Oxford
Diploma in Mathematical Finance

·       Princeton University
B.S. of Engineering in Financial Engineering
Master of Engineering in Financial Engineering
M.S.E. in Operations Research and Financial Engineering
Ph.D. in Operations Research and Financial Engineering

·       Polytechnic University
Master of Science in Financial Engineering

·       Purdue University
Master of Science in Computational Finance

·       University of Southern California
Professional Master of Science in Mathematical Finance

·       University of Toronto
Masters Program in Mathematical Finance

·       University of Warwick - Mathematics Institute
MSc. in Financial Mathematics

·       York University
Graduate Diploma in Financial Engineering

The following educational institutions offer individual courses in Financial Engineering.

University of Alabama
Financial Engineering
·       Auburn University
Seminar in Finance: Financial Engineering

·       Bentley College
Derivative Securities and Financial Engineering

·       Brunel University
Financial Engineering

·       Center for Central European Financial Markets
Advanced Mathematics of Finance
Risk Management

·       University of Colorado, Colorado Springs
Financial Engineering and Corporate Risk Management

·       Duke University
Financial Derivatives and Financial Engineering

·       Florida International University
Financial Risk Management-Financial Engineering

·       George Washington University
Financial Engineering and Derivative Securities

·       Golden Gate University
Financial Engineering

·       Harvard Univeristy
Corporate Financial Engineering

·       Hong Kong University of Science and Technology
Introduction to Financial Engineering

·       University of Illinois
Financial Engineering

·       James Madison University
Seminar in Financial Engineering

·       London Business School
Advanced Forecasting Methods in Financial Engineering

·       London Guildhall University
Financial Engineering

·       University of Melbourne
Financial Engineering

·       Michigan Technological University
Financial Engineering and Risk Management

·       Moscow University Touro
Financial Engineering

·       National Taiwan University
Financial Engineering and Computation

·       University of Northern British Columbia
Financial Engineering

·       University of Pretoria
Financial Engineering

·       University College Dublin
Financial Engineering

·       St. Louis University
Financial Engineering

·       University of South Africa
Introduction to the mathematical modelling of derivative instruments I and II

·       University of Vienna
Financial Engineering

·       University of Virginia
Financial Engineering

·       University of Washington
Introduction to Financial Engineering

·       University of the Witwatersrand, Johannesburg
Department of Computational and Applied Mathematics
Introduction to Financial Engineering

Impact

In fact the field of financial engineering has so much impact on the financial world markets that a search on the www.google.com engine yields the following number of listed items or web addresses as of April, 2001. Its importance to the world of finance and business is likened to that of life sciences to science today.

Key Words
Number of Items found under the “Key Words”

Life Sciences
1,390,000 (for comparison)

Financial Engineering
1,270,000

Quantitative Finance
325,000

Mathematical Finance
268,000

Computational Finance
103,000

Other websites that contain interesting financial engineering materials include the following.

http://www.iafe.org/

http://fenews.com/

http://fenews.com/issues.htm

http://www.fea.com/

http://finmath.com/

http://www.actuaryjobs.com/otherjobs.html