Department of Operations Research and Financial Engineering
- Ronnie Sircar
Director of Undergraduate Studies
- Alain L. Kornhauser
Director of Graduate Studies
- Mykhaylo Shkolnikov
- Amir Ali Ahmadi
- René A. Carmona
- Matias D. Cattaneo
- Jianqing Fan
- Alain L. Kornhauser
- Sanjeev R. Kulkarni
- William A. Massey
- John M. Mulvey
- Ronnie Sircar
- Mete Soner
- Robert J. Vanderbei
- Mykhaylo Shkolnikov
- Ramon van Handel
- Boris Hanin
- Emma Hubert
- Jason Matthew Klusowski
- Miklos Z. Racz
- Elizaveta Rebrova
- Bartolomeo Stellato
- Ludovic Tangpi
- Yacine Aït-Sahalia, Economics
- Markus K. Brunnermeier, Economics
- Maria Chudnovsky, Mathematics
- Weinan E, Mathematics
- Sanjeev R. Kulkarni, Dean of the Faculty
- H. Vincent Poor, Electrical & Comp Engineering
- Paul Seymour, Mathematics
- John D. Storey, 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 computing skills and exposing students to applications a variety of sectors of the economy such as finance, mobility, logistics, energy, environment, health care, diversity, education, and equity. All of these applications involve having humans in the loop and consequently confronting challenges of large data, large dimensions, risk, uncertainty, and the desire for good outcomes, the analytics of which are the focus of ORFE’s academic core. Students augment the core program with a coherent sequence of application-focused departmental electives. Students often draw on courses from economics, computer science, applied mathematics, civil and environmental engineering, mechanical and aerospace engineering, chemistry, molecular biology, psychology, sociology, and the Princeton 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 director of undergraduate studies 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 director of undergraduate studies.
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
** Exam option: Prospective concentrators may apply to the department to sit for an exam in lieu of ORF 245. Concentrators who satisfy the ORF 245 requirement with the departmental exam must take an additional advanced statistics course as a departmental elective in its place. For more information about this option, please consult the department's website.
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 Optimization and Quantitative Decision Science (formerly 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 to assist in the actual deployment of advanced mobility systems, in particular making Trenton the world capital in the deployment of safe, equitable, sustainable, affordable, high quality mobility for all.
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.