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Workshop on Differential Equations and Stochastic Analysis in Mathematical Finance

金融数学微分方程和随机分析研讨会

会议编号:  M140701

时间:  2014-07-12 ~ 2014-07-16

浏览次数:  473

组织者:   诸颂平, Carl Chiarella, Xiaoqun Wang

会议介绍

    To advance mathematics research worldwide and to elevate the research and academic level of the young scholars, Prof. S. T. Yau of the Harvard University has initiated the establishment of the first international mathematics conference centre, the Tsinghua Sanya International Mathematics Forum (TSIMF), which has received strong support from Tsinghua University, the Hainan Provincial Government, as well as the Sanya City Government. The 140-acre TSIMF conference venue is an ideal place for mathematicians to meet, exchange research ideas and collaboratively work on some commonly interested problems.

    Financial mathematics is a newly emerging area, in which mathematics can be beautifully applied to quantify some activities that were traditionally not quantifiable. These include, but are not limited to, pricing financial derivatives, risk management, hedging and insurance. An important tool in quantitative finance is the use of Partial Differential Equations (PDEs) as many quantitative finance problems need to be eventually dealt with by means of Partial Differential Equations, either analytically or numerically.

    It is the intention of the three members of the organizing committee of this conference to organize this symposium with a focus on the PDE approaches in finance. All three co-chairs have established an international reputation, through their own research in this area and thus it is envisaged that they should be able attract the most well-known researchers in the world to this conference to give plenary speeches and enhance the professional level of the conference.

    Scientic Committee

    The local organizing committee consists of:

    Zongxia Liang (Chair, Tsinghua University, China)

    Jin Liang (Tongji University, China)

    Jingtang Ma (Southwestern University of Finance and Economics, China)

    Weixing Wu (University of International Business and Economics, China)

    Chenglong Xu (Tongji University, China)

    Mei Yu (University of International Business and Economics, China)

    Rongxi Zhou (Beijing University of Chemical Technology, China)

    Xiaosong Qian (Soochow University, China).

    Biographies of Keynote Speakers

    Min Dai

    Prof Min Dai received his Ph.D. degree from Fudan University in 2000. He worked as a post-doc, lecturer, associate professor at Peking University for four years after his graduation. He joined the Department of Mathematics, National University of Singapore, in July 2004. His research focuses on mathematical finance, particularly on option pricing and optimal investment with market imper-fections. Currently he is in the Editorial Board of Journal of Economic Dynamics and Control and Asia-Pacific Journal of Operational Research. He is the program director of the Master Program in Quantitative Finance, National University of Singapore.

    Peter Forsyth

    After graduating in 1979, Peter Forsyth was a Senior Simulation Scientist at the Computer Modelling Group (CMG) in Calgary, where he developed petroleum reservoir simulation software. After leaving CMG, Peter was the founding President of software startup Dynamic Reservoir Systems (DRS), also in Calgary.

    In 1987, Peter joined the University of Waterloo, where he is now a Professor in the Cheriton School of Computer Science. Peter’s current research focuses on Computational Finance, with partic-ular focus on numerical methods for Hamilton Jacobi Bellman partial differential equations. He is a member of the Editorial Board of Applied Mathematical Finance and the Journal of Computational Finance. From 2008-2013, Peter was the Editor-in-Chief if the Journal of Computational Finance.

    Olivier Scaillet

    Olivier Scaillet, Belgian, is professor of finance and statistics at the Geneva Finance Research Institute of the University of Geneva and has a senior chair at the Swiss Finance Institute. He holds both a master and Ph.D. from University Paris IX Dauphine in applied mathematics. Professor Scaillet’s research expertise is in the area of derivatives pricing, econometric theory and econometrics applied to finance and insurance. He has published several papers in top journals in econometrics and finance, and co-authored a book on financial econometrics. He has been one of the winners of the bi-annual award for the best paper published in the Journal of Empirical Finance on the topic of quantitative risk management and of the Banque Prive Espirito Santo award prize on the topic of mutual fund performance. He is an elected fellow of the Society of Financial Econometrics, and associate editor of several leading academic journals in econometrics, statistics, banking and finance.

    Jianming Xia

    Jianming Xia is now a professor of AMSS (Academy of Mathematics and Systems Science), CAS (Chinese Academy of Sciences). He received his Ph.D. degree from East China Normal University in 2000. He worked as a post-doc, assistant professor, and associate professor at AMSS, CAS and as an assistant professor at National University of Singapore. His research focuses on mathematical finance and mathematical economics, particularly on portfolio selection, asset pricing, quantitative behavioral finance, and decision theory under uncertainty. Currently he is the executive deputy director of the Key Laboratory of Random Complex Structures and Data Science, CAS and the deputy director of the Laboratory of Probability and Statistics, AMSS, CAS.

组织者

Song-Ping Zhu, University of Wollongong, Australia
Carl Chiarellag, University of Technology Sydney, Australia
Xiaoqun Wang, Tsinghua University, China

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