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Applying Operations Research Techniques to Financial Markets

Author

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  • John Board

    (Department of Accounting and Finance, London School of Economics and Political Science, London WC2A 2AE, United Kingdom)

  • Charles Sutcliffe

    (Accounting and Finance Division, School of Management, University of Southampton, Southampton SO17 1BJ, United Kingdom)

  • William T. Ziemba

    (Operations and Logistics Division, Faculty of Commerce and Business Administration, University of British Columbia, 2053 Main Mall, Vancouver, British Columbia, Canada V6T 1Z2)

Abstract

OR techniques are applied to nonportfolio problems in financial markets, such as the equity, debt, and foreign exchange markets and the corresponding derivatives markets. Finance problems are an excellent application area for OR researchers. OR techniques are used to value financial instruments, identify market imperfections, design securities, regulate markets, evaluate and control risks, model strategic problems, and understand the functioning of financial markets. Mathematical programming is probably the most widely applied OR technique, but Monte Carlo simulation methods are of increasing importance. With the improvements in the real-time availability of data and the power of computers, the role of OR techniques in financial markets can only increase.

Suggested Citation

  • John Board & Charles Sutcliffe & William T. Ziemba, 2003. "Applying Operations Research Techniques to Financial Markets," Interfaces, INFORMS, vol. 33(2), pages 12-24, April.
    • Handle: RePEc:inm:orinte:v:33:y:2003:i:2:p:12-24
    DOI: 10.1287/inte.33.2.12.14465
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