The Financial Engineering Laboratory

 

 

Financial Engineering and Risk Management Laboratory

Academic Head: Dr. GAL ZAHAVI

 

The Financial Engineering and Risk Management Lab (FEL) is an interdisciplinary laboratory created and designed to support and promote research in financial engineering, computational finance and risk management. It operates within the Technion Research Centers, and function as a part of the Faculty of industrial engineering and Management (IE&M). The FEL, was formally founded in 2009, and has been academically and operationally led by Dr. Gal Zahavi since its creation.  The higher aim of the lab is to achieve a responsible and sustainable financial management practice, through the design of new financial and mechanisms, taking into account measured risk and its subjective perception.

The FEL objective is to provide an academically and empirically substantiated solution to industrial and scientific research questions in finance. The associated research reports include a complete breakdown of the research questions at hand, from the theoretical model and formulation to mathematical analysis, followed by a comprehensive empirical investigation based on historical market date.  In order to bring a wide set of skills, and for quality assurance purposes, every research project is done in collaboration with IE&M faculty members and highly trained graduate student.

The FEL research projects fall into four main subject areas, and represent the work flow of engineering financial schemes:

  • Financial planning of sustainable schemes
  • Financial risk management analysis
  • Financial behavior and risk perception.
  • Financial engineering. 

The FEL is devoted to teach and implement financially sustainable schemes. To meet this end, the lab offers a series of five graduate level coursesfocused on training the students to manage financial securities portfolios. The courses are based on quantitative analysis of live market data, tailored to meet the needs of financial practitioners. The first course is an introduction to capital markets investments schemes implementing portfolio theory, then a second course in financial risk management is introduced to measure the associated risk of the constructed portfolios. Once the risk of liquid capital markets has been substantiated, the students can take a third financial engineering course, in order to structure new financial products. Finally the FEL offers two intensive courses in evaluation of option derivative markets and interest rate risk. As a part of the graduate training programs the lab supervises fourth year annual projects, ME final research projects and instructs full time, MSc and PhD students on a wide set of topics. Among this topics are derivative markets, market liquidity, credit risk and risk measures, renewable energy evaluation, behavioral finance etc.     

The head of the lab, Dr. Gal Zahavi is an applied mathematician specializing in the areas of financial engineering and quantitative finance. He received his Ph.D. degree in pure math at the Weizmann Institute of Science in 2007. Throughout his years at the Weizmann he worked with researchers in various disciplines such as bio-math models, medical imaging, approximation theory and numerical analysis of partial deferential equations. In the years 2007-2008, Dr.  Zahavi joined the web based financial instruments pricing company Super Derivatives where he specialized in financial engineering. In the years 2008-2009 Dr. Zahavi joined the analytic department at the global treasury unit of Bank Hapoalim as a Quantitative Analyst. In 2009 he joind the Technion as the head of the financial engineering lab and has maintained this position ever since. For complete updated C.V go to http://il.linkedin.com/in/galzahavi.

For more information about the FEL please read the research and teaching statement. Furthermore, a wide set of activates can be found in the Financial Engineering Lab website.