This paper reviews the application of OR to financial markets. After considering reasons for the attractiveness of general finance problems to Or researchers, the main types of financial market problem amenable to OR are identified, and some of the many problems solved using OR are documented.

Writing call options against long positions in the underlying equities is the most popular options strategy. Since the variance is an inadequate measure of risk for options strategies, this paper uses a range of dominance criteria and four utility functions to compare the performance of partly...