在金融建模和运筹学的交汇处工作了五十年

IF 6 2区管理学 Q1 OPERATIONS RESEARCH & MANAGEMENT SCIENCE

European Journal of Operational Research Pub Date : 2025-01-07 DOI:10.1016/j.ejor.2025.01.001

Frank J. Fabozzi, Maria Cristina Recchioni, Roberto Renò

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引用次数: 0

摘要

在过去的五十年里，在金融和运筹学的前沿，方法、应用和贡献的交叉越来越多。这篇受邀的论文选择性地回顾了这些文献，旨在为未来在这两个领域的交叉研究提供一个基石。我们的回顾主要围绕四个主题：期权定价、利率和信用风险建模、投资策略和金融计量经济学。这篇综述探讨了未来研究的可能途径，特别是与机器学习、高维统计和新的行为方法相关的研究。

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Fifty years at the interface between financial modeling and operations research

Over the last fifty years, there has been an increasing intersection of methodologies, applications, and contributions at the frontier of finance and operations research. This invited paper selectively reviews this literature, aiming to provide a building block for future research at the intersection between the two fields. Our review revolves around four main themes: option pricing, interest rate and credit risk modeling, investment strategies, and financial econometrics. The review explores possible avenues for future research, particularly related to machine learning, high-dimensional statistics and a renewed behavioral approach.

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来源期刊

European Journal of Operational Research 管理科学-运筹学与管理科学

CiteScore

11.90

自引率

9.40%

发文量

786

审稿时长

8.2 months

期刊介绍： The European Journal of Operational Research (EJOR) publishes high quality, original papers that contribute to the methodology of operational research (OR) and to the practice of decision making.