Program Overview

Operations Research and Financial Engineering

The Operations Research and Financial Engineering (ORFE) department’s intellectual mission is to develop theory and tools in statistics, probability, and optimization to extract meaningful information from data, and to utilize information to make optimal decisions.

Program Offerings

• Ph.D.

Program Description

The department ordinarily offers the Doctor of Philosophy (Ph.D.) in Operations Research and Financial Engineering. This program provides a great deal of flexibility for students in designing individual plans of study and research according to their needs and interests. The department is also a major participant in the Master of Finance (M.Fin.) program offered through the Bendheim Center for Finance.

Admission Criteria

• Application deadline: December 30, 11:59 p.m. Eastern Standard Time (for enrollment beginning in fall 2026)
• Program length: Ph.D. 4 years
• Fee: $75
• GRE: General Test - Optional/Not Required; Subject Test in Mathematics - Optional/Not Required
• Additional departmental requirements: Applicants are required to select an area of research interest when applying.

Program Structure

• Courses: In consultation with the director of graduate studies, students develop a specific course plan. During the first year, students complete six courses that emphasize the foundations of the program, probability, statistics, and optimization.
• Core Courses:
  • ORF 522 Linear and Nonlinear Optimization
  • ORF 523 Convex and Conic Optimization
  • ORF 524 Statistical Theory and Methods
  • ORF 525 Statistical Foundations of Data Science
  • ORF 526 Probability Theory
  • ORF 527 Stochastic Calculus
• Directed Research: At least two advanced courses and two semesters of directed research (ORF 509 and ORF 510) are completed under the direction of a faculty adviser in the student's area of interest by the end of the second year in preparation for the general examination.

Qualifying Examination

• Each student must satisfy qualifying requirements. Qualifying exams are offered in September of the student’s second year.
• A student who obtained a grade of A- or better in 4 of the six required classes will be exempt from the qualifying exams.
• If this is not the case and the student obtained a grade of A- or better in at least 2 of the six required classes, the student will meet with the DGS to decide which exams must be taken to satisfy the requirements.

General Examination

• ORFE students take the general exam in April or May of their second year.
• By the end of the Spring semester, students should have met the qualifying examination requirements, have taken and passed ORF 509 and ORF 510, and have passed with a B+ or higher grades two advanced classes.
• The general exam consists of two parts, a written and an oral part, both covering the student’s primary area of specialization.

Teaching Requirement

• The department has a teaching requirement of at least a full Teaching Assistant (TA) assignment or two half TA assignments potentially beginning in the fall of the student's 2nd year depending on the department's teaching needs.
• Requirements for teaching include:
  • Passing the English Language Proficiency Exam by August after the first year of study (if applicable).
  • Attending the mandatory AI Orientation in fall of the 2nd year of study

Dissertation and Final Public Oral Examination

• Upon completion and acceptance of the dissertation by the department, the candidate will be admitted to the final public oral (FPO) examination.
• The committee of examiners for the FPO must consist of no fewer than two current ORFE faculty members, and the 2nd thesis reader should also be a current ORFE faculty member.

Additional Requirements

• Responsible Conduct in Research (RCR): All Ph.D. candidates are also required to take EGR501 before the end of their second year.

Faculty

• Chair: Mete Soner
• Director of Graduate Studies: Ludovic Tangpi
• Director of Undergraduate Studies: Alain L. Kornhauser
• Professor:
  • 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
• Associate Professor:
  • Boris Hanin
  • Ludovic Tangpi
• Assistant Professor:
  • Jason Matthew Klusowski
  • Elizaveta Rebrova
  • Bartolomeo Stellato
• Associated Faculty:
  • Yacine Aït-Sahalia, Economics
  • Markus K. Brunnermeier, Economics
  • Maria Chudnovsky, Mathematics
  • Filiz Garip, Sociology
  • Elad Hazan, Computer Science
  • H. Vincent Poor, Electrical & Comp Engineering
  • Jennifer Rexford, Provost
  • Paul Seymour, Mathematics
  • Allan M. Sly, Mathematics
  • John D. Storey, Integrative Genomics
  • Rocío Titiunik, Politics
  • Wei Xiong, Economics
• Professor Emeritus (teaching):
  • Robert J. Vanderbei
• Professor of the Practice:
  • Robert Almgren
• Lecturer:
  • Ioannis Akrotirianakis
  • Margaret Holen
  • Daniel Rigobon
• Visiting Lecturer:
  • Mark Cerenzia
  • Alex Dytso
  • Daniel Scheinerman
  • Michael Sotiropoulos

Permanent Courses

• FIN 501 - Asset Pricing I: Pricing Models and Derivatives (also ORF 514)
• ORF 504 - Financial Econometrics (also FIN 504)
• ORF 505 - Statistical Analysis of Financial Data (also FIN 505)
• ORF 509 - Directed Research I
• ORF 510 - Directed Research II
• ORF 511 - Extramural Summer Project
• ORF 515 - Asset Pricing II: Stochastic Calculus and Advanced Derivatives (also FIN 503)
• ORF 522 - Linear and Nonlinear Optimization
• ORF 523 - Convex and Conic Optimization
• ORF 524 - Statistical Theory and Methods
• ORF 525 - Statistical Foundations of Data Science
• ORF 526 - Probability Theory
• ORF 527 - Stochastic Calculus
• ORF 531 - Computational Finance in C++ (also FIN 531)
• ORF 535 - Financial Risk and Wealth Management (also FIN 535)
• ORF 538 - PDE Methods for Financial Mathematics
• ORF 542 - Stochastic Optimal Control
• ORF 543 - Deep Learning Theory
• ORF 544 - Stochastic Optimization
• ORF 545 - High Frequency Markets: Models and Data Analysis (also FIN 545)
• ORF 550 - Topics in Probability (also APC 550)
• ORF 555 - Energy & Commodities Markets
• ORF 569 - Special Topics in Statistics, Operations Research and Financial Engineering
• ORF 570 - Special Topics in Statistics and Operations Research
• ORF 574 - Special Topics in Investment Science (also FIN 574)