MIT Laboratory for Financial Engineering (LFE) is an MIT research center created as a partnership between academia and industry, designed to support and promote quantitative research in financial engineering and computational finance.
The principal focus of the LFE is the quantitative analysis of financial markets using mathematical, statistical, and computational models. The goal of LFE is not only to spur advances in financial engineering, but also to develop better ways to teach students and executives how to apply financial technology in corporate settings.
Current research projects include the empirical validation and implementation of financial asset pricing models, the pricing and hedging of options and other derivative securities, risk management and control, trading technology and market microstructure, nonlinear models of financial time series, neural-network and other nonparametric estimation techniques, high-performance computing, and public policy implications of financial technology.
The research projects are grouped into three Program areas:
The sponsored activities of the LFE include financial support for basic research in financial engineering, the purchase and maintenance of computing hardware, software, and financial databases for academic study and teaching applications, dissemination of research findings in the form of technical reports and preprints, and occasional seminars and conferences on selected research topics.
Industry sponsorship provides both the resources with which to tackle complex problems, and invaluable sources of advice and expertise on the more practical aspects of such problems. Sponsors benefit from the unique and timely access to state-of-the-art research in financial engineering, as well as broad exposure to first-rate finance faculty and students through LFE conferences, campus visits, and specific project-related collaborations.
The LFE is a research lab for currently enrolled students and faculty, and we do not offer any degree programs. Click here to learn more about the admissions process and the academic programs offered by MIT Sloan School of Management.