The article introduces the application advantages of financial engineering in Internet financial risk management and control in detail, finds out the main risks in Internet financial innovation through investigation and research, and puts forward effective measures to optimize risk control, such as building a risk management and control system, enhancing the decision-making power of Internet finance, scientific application of derivatives, improving the supervision and management system and strengthening credit evaluation using the saddle method and stochastic integral theory, the optimal wealth level and the corresponding optimal asset portfolio strategy of the portfolio insurer are solved ‚ And compare the differences and similarities between the optimal investment strategy of the optimal portfolio insurance model and the optimal investment consumption model.