Conference report by Senior Professor Song-Ping Zhu.

From 6-10 January this year, I attended the second internional symposium on partial differential equations & stochastic analysis in mathematical finance at the Tsinghua Sanya International Mathematics Forum (TSIMF), in Sanya on China’s Hainan Island.

This symposium followed on from the first international symposium on Partial Differential Equations & Stochastic Analysis in Mathematical Finance held at the University of Wollongong in July 2014 and organized by my team.

Over 100 researchers including 30 PhD students from different areas of mathematical finance and various countries from Asia, Africa, Australasia, Europe and North America, came together to discuss research results, and encourage young mathematicians toward the emerging field of financial mathematics, where maths can be beautifully applied to quantify some activities which were traditionally not quantifiable, such as pricing financial derivatives, risk management, hedging and insurance.

Professor Peter Carr delivering his keynote speech

This second symposium featured four internationally renowned experts as keynote speakers:

  • Professor Peter Carr (New York University)
  • Professor Min Dai (National University of Singapore)
  • Professor Cornelis Oosterlee (Delft University of Technology)
  • Professor Marek Rutkowski (University of Sydney)
  • As well as a host of other mid and early-career researchers, including our own Dr. Xin-Jiang He from UOW.

The first keynote speaker was Professor Peter Carr, a world-renowned expert in financial mathematics and financial engineering with a very rare and unique experience in both academia and the finance industry, having worked at Bloomberg and Morgan Stanley.  His extremely high quality publications have led many researchers, practitioners and students into the area of mathematical finance and quantitative risk management.

Among the approximate 100 participants, 70% gave presentations on their latest research results. With a mix of 36% of overseas scholars (including those from Hong Kong and Macau, China), 34% Chinese scholars and 30% PhD students, delegates were equally represented in each of these three categories, making this symposium quite a success.

The Symposium held a number of parallel sessions covering:  financial modelling, numerical methods, portfolio selection, bond pricing, option pricing, other derivative pricing, insurance, and asset management. In addition, four student sessions were held and certificates were presented to the best student presentation and highly-commended student presentation by the chair of the student prize committee, Professor Jin Liang.

Keynote speakers and invited (MCR) speakers receiving a small token of appreciation at the symposium banquet from Professor Zhu

The Symposium’s Women in Financial Mathematics (WiFM) Forum and Networking lunch, was organized by Dr. Xiaoping Lu (University of Wollongong) and featured special guest speakers such as Professor Simona Sanfelici (University of Parma, Italy) and Professor Jin Liang (Tongji University, China).

Talks here focused on sharing the learning experiences of well-established female professors, issues related to female academics, particularly those faced by early career researchers including PhD students in financial mathematics, and an opportunity to network with other female researchers and supporters.ollongong) and featured special guest speakers such as Professor Simona Sanfelici (University of Parma, Italy) and Professor Jin Liang (Tongji University, China).

As a major sponsor of the symposium, the Tsinghua Sanya International Mathematics Forum (TSIMF) provided excellent support for the symposium at all levels, ranging from the airport pickup/drop off, food and accommodation, excursions, and the excellent and world-class venue.

I am very grateful to everyone who helped organize this event. I would like to thank firstly Prof. Shing-Tung Yau, for his support and kind invitation to host this event in the impressive conference facilities he has built for Chinese mathematicians and to a large extent, all mathematicians in the world. I would like to also thank Ms. Xian Yu in Beijing for communications, Prof. Xuan Gao, who was in charge of local operations in Sanya, and Ms. Li Ye who led a very efficient support team at Sanya Center. My thanks are extended to Mr. Weihua Han, who organized all the local transportation for conference delegates.

Thanks also to my symposium co-organizers, Prof. Jingtang Ma, Prof. Yuecai Han and Prof. Wenting Chen, who provided some financial support and were involved in making all the important decisions.

Thanks to Prof. Tim Marchant, Dean of Research at the University of Wollongong, for providing some financial support through the UOW’s Graduate School of Research, and Prof. Jin Liang and her team for their hard work in judging the student presentations, and above to the conference secretary, Dr. Xinjiang He, who was responsible for the many of the detailed matters; without his help, the symposium would not have been such a great success.

Lastly, I would also like to thank the Local Organizing Committee Chair (Australia), Dr. Xiaoping Lu and the committee member Ms. Dong Yan, for their untiring efforts to ensure the symposium’s success and promote the international reputation of UOW.