Department of Operations Research and Financial Engineering
Director of Graduate Studies
Assistant Professor (continued)
Yacine Aït-Sahalia, Economics
Markus K. Brunnermeier, Economics
Weinan E, Mathematics
Christodoulos A. Floudas, Chemical and Biological Engineering
Sanjeev R. Kulkarni, Electrical Engineering
H. Vincent Poor, Electrical Engineering
Robert E. Schapire, Computer Science
José A. Scheinkman, Economics
Paul D. Seymour, Mathematics
Christopher Sims, Economics
Yakov G. Sinai, Mathematics
John D. Storey, Molecular Biology and Lewis-Sigler Institute for Integrative Genomics
Wei Xiong, Economics
The ORFE department is geared towards educating students whose ultimate goal is to get a Ph.D. The admission rate for the M.S.E. degree is very low. Applicants interested in an M.S.E. degree from ORFE are urged to identify and contact a faculty member in whose area of research they would like to work. Admission will be based on not only qualifications of applicant, but also requires support of at least one faculty member who expresses an interest to supervise the applicant. Students enrolled in this program are eligible for financial support in the form of research or teaching assistantships if such funds are available. Applicants who are primarily interested in a Master's degree in Finance should apply for the Master in Finance at the Bendheim Center for Finance. The School of Engineering provides more information regarding the Master of Science in Engineering program.
The plan of study for the first year is prepared by the student in consultation with an informal faculty adviser and the director of graduate studies. A typical plan consists of six courses, emphasizing the foundations of the program.
ORFE students take the general exam in April or May of their second year. By that time, the students have met the qualifying examination requirements, have taken and passed ORF 509, have taken or are currently enrolled in ORF 510 and have passed with a B+ or higher two advanced courses. The student must have shown adequate progress on research and an acceptable level of understanding of his or her area of specialization.
Each doctoral program is formulated to prepare students for research and teaching. The aim of the program is to provide a strong methodological background, coupled with significant competence in some area of application. The emphasis is on the conceptual foundations, mathematical models of real phenomena, and computational issues in practical problem solving.
The departmental faculty are affiliated with a number of interdisciplinary programs and centers: the Andlinger Center for Energy and the Environment, the Program in Applied and Computational Mathematics, the Graduate Program in Quantitative and Computational Biology, the Princeton Environmental Institute, the Princeton Neuroscience Institute, the Program in Robotics and Intelligent Systems, and the Bendheim Center for Finance. Students may combine their departmental work with courses and research opportunities offered by such programs and centers and also by the departments of computer science, economics, and mathematics.
The departmental colloquium and seminar series brings distinguished researchers and practitioners from other universities and businesses to present their latest work. In addition, informal research seminars are organized in order to exchange information and to discuss ideas arising from the research work in progress. Students, research staff, visiting scholars, and faculty members participate in these seminars.
The department aims to support all doctoral students requesting aid through a combination of fellowships and assistantships. All first-year Ph.D. candidates are supported by full-time fellowships, allowing students to focus on courses and providing flexibility in the choice of a research advisor. From the second year onward, students are supported by a combination of teaching assistantships, research assistantships, and fellowships. Continuation of support is recommended on the basis of satisfactory progress.
ORF 505/FIN 505 Modern Regression and Time Series
René A. Carmona
ORF 507 Master's Project I
ORF 508 Master's Project II
ORF 509 Directed Research I
ORF 510 Directed Research II
ORF 511 Extramural Summer Project
Director Of Graduate Studies (DGS)
ORF 515/FIN 503 Asset Pricing II: Stochastic Calculus and Advanced Derivatives
ORF 522 Linear and Convex Optimization
Robert J. Vanderbei
ORF 523 Advanced Optimization
ORF 524 Statistical Theory and Methods
ORF 525 Statistical Learning and Non-Parametric Estimation
ORF 526 Probability Theory
ORF 527 Stochastic Calculus
Ramon van Handel
ORF 531/FIN 531 Computational Finance in C++
ORF 533 Convex Analysis for Mathematical Finance
ORF 534 Quantitative Investment Science
John M. Mulvey
ORF 538 PDE Methods for Financial Math
René A. Carmona
ORF 551/APC 551 random Measures and Levy Processes
ORF 554 Markov Processes
ORF 557 Stochastic Analysis Seminar
René A. Carmona
ORF 558 Stochastic Analysis Seminar
ORF 565 Empirical Processes and Asymptotic Theory
ORF 569 Special Topics in Statistics and Operations Research
ORF 570 Special Topics in Statistics and Operations Research
ORF 574/FIN 574 Special Topics in Investment Science
John M. Mulvey
ORF 575 Financial Engineering Seminar
Discussion of recent topics and papers in financial mathematics.