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.
Fifty years at the interface between financial modeling and operations research
Reno, Roberto
2025-01-01
Abstract
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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