Risk Management and Financial Engineering Laboratory

The Risk Management and Financial Engineering (RMFE) Laboratory is an interdisciplinary laboratory led by Stan Uryasev, Professor of Industrial and Systems Engineering.  The Laboratory is focused on analyzing risk management issues, including:

  • risk management in financial applications
  • risk management in energy:
    • deregulated electricity market (pricing of units, uncertain demands, failures, network flow problems, impact of weather on electricity consumption)
    • controlling nuclear risks
  • risk management and resource allocation in military applications
  • medical applications (balancing of risks: hospital-insurance company)
  • risk management in agriculture (uncertain weather conditions, hedging risks with futures contracts)
  • environmental applications (pollution, natural disasters)

and financial engineering applications such as:

  • analysis of risk measures such as Value-at-Risk and Conditional Value-at-Risk
  • credit risk
  • insurance pricing and resource allocation
  • hedging using optimization approaches
  • portfolio optimization
  • pricing of derivative instruments
  • trading algorithms.

Laboratory Mission

The mission of the RMFE Lab is to:

  • Facilitate research and applications in the area of risk management, financial mathematics, and engineering
  • Provide a basis for the collaborative efforts of the multidisciplinary team of UF researchers and industrial partners
  • Provide access to the state-of-the-art risk management and financial engineering software, which will improve research capabilities and the teaching process
  • Support activities of the Interdisciplinary Ph.D. Program with Concentration in Quantitative Finance involving four departments of the University of Florida: Industrial and Systems Engineering Dept. (Financial Engineering Program), Mathematics Dept. (Financial Mathematics Program), Statistics Dept. (Financial Mathematics Program), and Finance Dept. in the Business School (Financial Engineering Program)