Applying financial maths to social sciences

Over 100 researchers including 30 PhD students from different areas of mathematical finance and different countries in Asia, Africa, Australasia, Europe and North America, gathered to discuss their latest research results, and to encourage young mathematicians to take up the challenges in the emerging area of financial mathematics. 

“Financial mathematics is the best example of mathematics being successfully applied to social sciences. The most significant achievement is its application in financial derivative pricing and portfolio management, transforming qualitatively-based traditional risk management to modern quantitatively-based risk management, which has been widely adopted in today’s corporate finance,” said S/Prof. Zhu.

“In the past 10 years, many researchers have focused on new challenges arising from the 2008 financial crisis, such as how to factorise credit-related risk and market liquidity risk in the already developed derivative pricing formulae as well as in new formulae to be developed.” 

One of the highlights of the symposium was leading keynote speaker, Professor Peter Carr, who is the Chair of the Finance and Risk Engineering Department at NYU Tandon School of Engineering. Professor Carr is a world-renowned expert in financial mathematics and financial engineering with a unique experience in both academia and finance industry, having been a professor at Cornell University and NYU Courant Institute, Head of Quantitative Financial Research at Bloomberg LP and the Global Head of Market Modeling at Morgan Stanley.  

Other keynote speakers were: Professor Peter Carr (New York University), Professor Min Dai (National University of Singapore), Professor Cornelis Oosterlee (Delft University of Technology) and Professor Marek Rutkowski (University of Sydney), as well as 4 invited early-career researchers which included UOW’s Dr. Xin-Jiang He. 

he Symposium also featured the session: Women in Financial Mathematics (WiFM) Forum and Networking lunch, organized by UOW’s Dr. Xiaoping Lu, to learn from the experiences of well-established female professors in the discipline, discuss issues concerning academic women, particularly female early career researchers including PhD students in financial mathematics, and to network with fellow female researchers.  

“The purpose of the forum was to support women, and particularly early career researchers including PhD students, to enter and establish a career in mathematics, especially in financial mathematics. We had a great turn out for the event, not only women, but also men. Professor Liang (China) and Professor Sanfelici (Italy) shared their career experiences with attendees as women researchers in Financial Mathematics,” said Dr Lu.

“It is worth pointing out that the women researchers attending the Symposium were mostly ECRs and PhD students, only two female professors (Liang and Sanfelici). We also discussed issues specific for women in academia, such as care of family and children.”

Outcomes of the WiFM forum included:

• An increased the awareness of issues related to gender balance; many attendees thought that such a forum was an eye-opening experience to them;
• An opportunity to promote UOW’s own effort and commitment in terms of developing relevant policies to address gender equity, especially in academic employment and promotion;
• Establishing research collaborations - Many women attendees made professional contacts that they would otherwise not have occurred.

The success of this second symposium was built upon the first International Symposium on Partial Differential Equations & Stochastic Analysis in Mathematical Finance, in July 2014 also organised by Professor Zhu and his team at UOW, and held at TISMF.  

Interested in Financial Maths? 

The School of Mathematics and Applied Statistics (SMAS) at UOW was the first in Australia to establish the Bachelor of Mathematics and Finance degree (BMathFin), a program that prepares graduates to apply mathematics to a traditionally social science area, finance.

Since its inception in 2000, the program has attracted many exceptional students, including Tim Berry, co-founder of Tibra Capital, an Australian based international finance company.

Tibra Capital is a quantitative research and investment group that uses its shareholders’ capital across a broad range of investment strategies. It aims to facilitate liquidity, price fairness and efficient allocation of capital in financial markets, leading to growth in its investors’ wealth.

“Not only has Tim provided the SMAS with many suggestions to improve the BMathFin curriculum, Tibra under his leadership has also been providing many scholarships and employment opportunities to our graduates,” said Professor Zhu.

The most beneficial scholarship is the Tibra WIL (Work Integrated Learning) scholarship valued at $15,000. These scholarships allow students to use the knowledge that they have acquired at UOW in finance practice and generate social impact to our local finance industry.   

About Senior Professor Zhu
Zhu is from the School of Mathematics and Applied Statistics, at UOW. He has published over 100 papers in international journal and conference proceedings, and has attracted funding for several research projects from the ARC and private industries. His research interests are primarily in the following three dynamically inter-related areas: Mathematical and Computational Finance (where he developed suitable analytical and numerical techniques for pricing exotic options, such as American options), Nonlinear Waves and Renewable Energy, and Computational Mathematics.

• SENIOR PROFESSOR SONG-PING ZHU: Visit Prof. Zhu's Scholars page to learn more.
• DR XIAOPING LU: Visit Dr Lu's Scholars page to learn more
• BACHELOR OF MATHEMATICS AND FINANCE DEGREE: BMathFin