Department of Operations Research and Financial Engineering

  • Chair

    Rene A. Carmona

  • Departmental Representative

    Alain L. Kornhauser

  • Director of Graduate Studies

    Warren Powell

  • Professor

    René A. Carmona

    Jianqing Fan

    Alain L. Kornhauser

    William A. Massey

    John M. Mulvey

    Warren B. Powell

    K. Ronnie Sircar

    Robert J. Vanderbei

  • Associate Professor

    Ramon van Handel

     

  • Assistant Professor

    Amir Ali Ahmadi

    Samory Kpotufe

    Han Liu

    Miklós Rácz

    Mykhaylo Shkolnikov

    Mengdi Wang

  • Associated Faculty

    Yacine Aït-Sahalia, Economics

    Markus K. Brunnermeier, Economics

    Weinan E, Mathematics

    Sanjeev R. Kulkarni, Electrical Engineering

    H. Vincent Poor, Electrical Engineering

    Paul D. Seymour, Mathematics

    Christopher A. Sims, Economics

    Yakov G. Sinai, Mathematics

    John D. Storey, Lewis-Sigler Institute for Integrative Genomics

    Wei Xiong, Economics

Information and Departmental Plan of Study

Operations research and financial engineering may be considered as the modern form of a liberal education: modern because it is based on science, mathematics, computing and technology, and liberal in the sense that it provides for broad intellectual development and can lead to many different types of careers. By choosing judiciously from courses in engineering, science, mathematics, economics, public policy, and liberal arts, each student may design a program adapted to his or her particular interests.

All students start from a common academic core consisting of statistics, probability and stochastic processes, and optimization. Related courses focus on developing computer skills and exposing students to applications in areas such as finance, operations, transportation, and logistics. Students augment the core program with a coherent sequence of departmental electives. Students may also design specialized programs in areas such as medicine and neuroscience, which must be reviewed and approved by their academic adviser and the departmental representative. Students often draw on courses from economics, computer science, applied mathematics, civil and environmental engineering, mechanical engineering, chemistry, molecular biology, psychology, and the Woodrow Wilson School of Public and International Affairs. Requirements for study in the department follow the general requirements for the School of Engineering and Applied Science and the University.

Program of Study

The student's program is planned in consultation with the departmental representative and the student's adviser and requires a year-long thesis or a one-semester senior project. With departmental approval, the exceptional student who wishes to go beyond the science and engineering requirements may select other courses to replace some of the required courses in order to add emphasis in another field of engineering or science or to choose more courses in the area of study. Suggested plans of study and areas of concentration are available from the departmental representative.

In addition to the engineering school requirements, there are three components to the curriculum:

1. The core requirements (four courses). These form the intellectual foundation of the field and cover statistics, probability, stochastic processes, and optimization, along with more advanced courses in mathematical modeling.

2. Departmental electives (ten courses). These are courses that either extend and broaden the core, or expose the student to a significant problem area or application closely related to the core program.

3. Senior independent research. A full-year thesis (or a one semester project plus an additional 400-level ORFE departmental) involving an application of the techniques in the program applied to a topic that the student chooses in consultation with a faculty adviser.

Core requirements (four courses):

ORF 245 Fundamentals of Engineering Statistics
ORF 307 Optimization
ORF 309 Probability and Stochastic Systems
ORF 335 Introduction to Financial Mathematics

Departmental electives (ten courses, if a one-semester project is selected but not usually recommended): The departmental electives represent courses that further develop a student's skills in mathematical modeling either by a more in-depth investigation of core disciplines, applying these skills in specific areas of application, or by learning about closely related technologies. Students must choose ten courses, as appropriate, with the following constraints:

1. There must be at least four courses from the Department of Operations Research and Financial Engineering (ORF).

2. There can be no more than three courses from any one department (excluding ORF).

A list of all other departmental electives may be found in the departmental undergraduate academic guide; see the department website.

Students in the department often participate in the following certificate programs and laboratories:

Certificate in Finance. The department cooperates with the Bendheim Center for Finance, which offers a certificate program in finance.

Certificate Program in Engineering and Management Systems. The department sponsors a certificate program for students majoring in other departments who complete a significant part of the core of the undergraduate program.

Certificate in Applied and Computational Mathematics. Students seeking a strong mathematical foundation can combine courses from the department with supporting courses which develop more fundamental mathematical skills.

The department maintains several research laboratories which may be used as part of undergraduate research projects.

Princeton Autonomous Vehicle Engineering (PAVE). This extracurricular undergraduate activity focuses on the implementation of advanced sensing and control technologies for optimal autonomous decision making in vehicles. The current objective is the development of an autonomous vehicle that can pass the New Jersey State Driving Test.

Computational and Stochastic Transportation and Logistics Engineering Laboratory. The CASTLE Laboratory works on problems in dynamic resource management with ongoing projects in chemical distribution, railroads, trucking, and the airlift mobility command. Through this lab, students gain access to data and specialized tools to aid them in their research into transportation and logistics.

Princeton Laboratory for Energy Systems Analysis. PENSA is the home of the SAP Initiative for Energy Systems Research at Princeton University. Our goal is to bring advanced analytical thinking to the development of new energy technologies, the rigorous study of energy policy, and the efficient management of energy resources.

Financial Engineering Laboratory. This facility provides students with access to specialized software packages and to financial data and news services. Research in the laboratory is concerned with the analysis of the various forms of financial risk and the development of new financial instruments intended to control the risk exposure of insurance and reinsurance companies.

Courses