Operations Research

OR

Operations Research is an interdisciplinary science for quantitative decision support. OR supports decision making by building mathematical models of the studied system such that decisions can be studied quantitatively through a number of mathematical tools (e.g. linear- and integer-programming, heuristics and simulation). Several application areas leads to models which cannot be solved by commercial tools, hence development of new solution methods is an important activity. Each time a mathematical model has been solved, the solution needs to be interpreted in the context of the studied system, often inspiring to changes or improvements of the mathematical model.

The section of OR has a holistic approach to operations research by covering all phases of the OR cycle: From problem analysis over model building to the development of new solutions methods and interpretation of the obtained results.

Application areas in OR at DTU cover among others: Maritime optimization, manpower planning, sustainable transportation planning, location, warehouse planning, packing and loading.

 

Financial engineering is a multidisciplinary field relating to the creation of new financial instruments and strategies. It is the process of employing mathematical models, financial theory and computer programming skills to make pricing, hedging, trading and portfolio management decisions. Financial engineering aims to precisely control the financial risk that a strategy or a financial product takes on.

Financial engineering can be applied to many different asset classes including equity, fixed income (ex. bonds), commodities such as oil or gold, as well as derivatives, swaps, futures, forwards, options, and instruments with embedded options.

The research activities of the Financial Engineering group at DTU Management Engineering include among others:

  • Analysis and evaluation of trading strategies
  • Analysis and evaluation of financial and investment products and concepts
  • Asset Liability Management modelling
  • Risk modelling, management and reporting
  • Debt management modelling
  • Scenario analysis (what-if analysis as well as scenario optimisation)
  • Pricing of financial products.

In this research field, we collaborate with:

Copenhagen University, Department of Mathematical Sciences 

Technical University of Munich, Mathematical Finance and Actuarial Science