“After eight years in software, I started to think about what I really wanted to do. . . . Finance was my biggest hobby.”
Lab for Financial Engineering
The 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.
Spurring Advances in Financial Engineering
The principal focus of the LFE is the quantitative analysis of financial markets using mathematical, statistical, and computational models. The goal of LFE is to spur advances in financial engineering and 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.
Focuses on the mainstream of financial engineering: the pricing and hedging of financial securities, the determinants of capital market equilibrium, and the empirical and econometric analysis of financial market data.
Focuses on the entire spectrum of issues surrounding the process of rational decision making under risk.
Focuses on various methodological aspects of financial engineering: mathematical, statistical, computational, and visual.
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; the 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 unique and timely access to state-of-the-art research in financial engineering, as well as broad exposure to world-renowned finance faculty and diverse 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.
“I love being in a place that is such a nexus of people and ideas — people coming to learn something new and to define themselves. Being a part of that process is a real honor and a real gift.”
"The relationships that we forged helped us to turn out a better project. We were able to test our hypotheses with the people that we spoke with every single day. And really, I think the friendships that you develop really propel the work that you’re doing."
"The classroom itself is filled with so much collective brain power . . . it's obvious that I'm caught up in a room full of 124 of the brightest, most curious people from around the world."
“These companies are really excited to work with MIT students.They reach out to the community to set up these projects and are great to work with. They give us access to all their resources and are very open to us.”
“It was really rewarding that they wanted to know what we thought. We left there being fairly certain that they will do some of the things that we suggested.”
“At MIT Sloan you have a lot of opportunities to explore entrepreneurship. Especially in a place like Kampala where you have a lot of development, entrepreneurship can be very exciting.”
“You could talk about watershed management and conservation of energy all you want. But until you put numbers to it and financial analysis to it, you’re not going to get much done. I came to business school to speak that language, speak with people in terms of numbers, financial numbers so that I can get projects done.”
“We’re very interdisciplinary. Among the faculty in the group are an economist, a political scientist, a sociologist, and an industrial relations specialist. We’ve always made a big effort to be open to a variety of perspectives, but also to go beyond being open to them, to want to bring them in, because it makes for a richer environment.”
“The assistant to the CEO was like our host mom while we were there. She arranged our housing for us, she took us out to her friend’s game farm, and we got driven around in 4x4s. She was just wonderful to meet, and we developed a personal as well as professional relationship with her.”
“I knew about American business, but not enough about what’s really become a global economy. … You can read about it all you want, but there’s no substitute for being there and seeing the context and seeing how completely different these [other countries] are.”
“One of the reasons I came to Sloan was because I wanted to be at a top MBA institution worldwide. But I also wanted access to working with the latest innovations and the highest technology that was coming out of the MIT labs.”
“The conditions in the neighborhoods we were visiting were different than what we realized before getting there. Beyond that, what was surprising was that there weren’t surprises!”
“We are very much an action-learning environment. The way to learn leadership is not only through reading cases, not only through learning theory — in fact we don’t want people to regurgitate the theory. We want people to take theory and to live it, use it.”
“The concept behind enterprise architecture is that you have all these machines, you have all these business processes, you have all these people doing things, how do you make sure they all come together and achieve business objectives that make you more competitive.”
“Because of the diversity of our backgrounds, when we hit the ground in Tanzania it almost was a natural play where different people assume different roles.”
“Another plus is the international breadth of its student body. The students share their direct experiences and this greatly contributes to our understanding of various economic issues.”