Fifty years at the interface between financial modeling and operations research
A fifty-year review of financial modeling and operations research focusing on option pricing, interest rates, machine learning, and behavioral approaches.
What it examines
This survey reviews fifty years of research at the interface of financial modeling and operations research. It examines methods in option pricing, interest rate and credit modeling alongside modern issues in machine learning, high-dimensional statistics, and behavioral economics. The paper outlines these trends and evolving techniques across the financial industry.
What it concludes
This survey concludes that bridging developments in financial modeling and operations research yields frameworks for pricing, risk assessment, and investment strategies. It highlights the importance of incorporating machine learning and behavioral insights, recommending their use in financial regulation, portfolio optimization, and risk management. Future research should refine these integrative methods.
Evidence objects
A comprehensive survey examines fifty years evolution in financial modeling and operations research, detailing option pricing, credit and interest risk, machine learning integration, high-dimensional statistics, plus a renewed behavioral perspective.
key_findings bullet 1 · key_findings · validation V0
The integration of advanced machine learning methods and high-dimensional techniques sharply improves market risk prediction by reexamining historic models, clarifying ambiguous definitions, and challenging established financial assumptions with behavioral insights.
key_findings bullet 2 · key_findings · validation V0
Employing an extensive literature review and innovative computational analysis, the study synthesizes decades of interdisciplinary financial research, flags real-world validation challenges, and inspires promising future directions toward deeper empirical exploration.
key_findings bullet 3 · key_findings · validation V0
This paper presents a retrospective synthesis bridging financial modeling and operations research over $50$ years. It examines option pricing, interest rate, and credit modeling with machine learning, highdimensional statistics, and behavioral analysis. Summarizing established developments, its historical overview delivers a compelling, refreshed perspective for quantitative finance scholars, offering fresh insights.
key_findings bullet 4 · key_findings · validation V0
Raw abstract and provenance
- … Our review revolves around four main themes: option pricing, interest rate and credit … machine learning, high-dimensional statistics and a renewed behavioral approach. …
Source row: 797 · abstract type: snippet