Introduction

History:

The Department of Financial Mathematics was founded in the spring of 1997, is initiated by Professor Boju Jiang (the first dean of the School), as the fifth department in the school. The first round undergraduate students finished in 1999. When it was founded in 1997, the Department was made up of 4 teachers, the head of the Department Prof. Duo Wang, the Vice head of the Department Prof. WenZao Huang, Prof. Jingping Yang and Lan Wu. Successively they had teaching experience in the Department (in timing order): Pro. Jiazhu Pan, Prof. Zhixiang Zhang, Prof. min Dai and Prof. ying Jiao. At present, the department consists of 7 regular faculties, including 3 professors, 4 associate professors.

The main research topics are financial mathematics, actuarial sciences, statistics and machine learning in the faculties. Our research interests include derivatives pricing and risk management, credit risk models, optimal stopping problems under non-linear expectations, market microstructure models, complex dynamical behaviors in economic and financial dynamic systems, copula methods and its application in insurance and finance, statistical inference of hidden Markov models, statistical inference of market microstructure based on high-frequency transaction data (multiple test problem), statistical learning in quantitative trading strategies, actuarial theory and application, graphical models and machine learning, time series analysis, statistical computing, and reliability assessment.

Our research results on financial mathematics have been published in the international journal, such as Finance and Stochastics, Quantitative Finance, Journal of Computational Finance, and Mathematics & Financial Economics; Our research results on actuarial sciences have been published in Astin Bulletin, Insurance: Mathematics and Economics, Scandinavian Actuarial Journal and NAAJ; Our research results on statistics and machine learning have been published in Ann. Statist and J. Mach. Learn. Res.

We also carry out cooperation project entrusted by the financial and insurance industry, such as the key project of insurance industry competitiveness research of CIRC, the commercial bank stress testing project commissioned by China Construction Bank, “Stochastic simulation model on China treasure bond issuance strategy” and “The yield curve fitting on Chinese bonds” by China Central Depository & Clearing Co. Ltd (CCDC), and “Credit risk model of credit loan asset securitization portfolio” commissioned by China Bond Rating Co., Ltd.

Educational Programs:

After twenty years of development, the Department has established an education training system of financial mathematics and actuarial science for undergraduates, graduate students and doctoral graduate. The undergraduate major is Mathematics & Application. The Master's degree is Master in Finance (MFin). The doctoral candidates are major in statistics. At present, there are 40-50 undergraduates, 35 students of MFin and 3-4 doctoral students every year.

Professional Services:

Faculty members in the Department played important roles in financial societies. Lan Wu served as the Member of“Committee of Solvency Regulation Standard of China Insurance Regulatory Commission(CIRC)”from 2007 to 2014. She is also being the council member and director of education division of China Association of Actuaries from 2014.

As part of the first national program on scientific development, the Division of Probability and Statistics was established at Peking University in 1956, with Professor Pao-Lu Hsu as the founding director, following the pattern of the Moscow State University. More than 50 senior students, as well as a few instructors, were summoned from Peking University, Nankai University and Sun Yat-Sen University to form the first training class, starting in the fall of 1956. Before the break of ‘Cultural Revolution’ in 1966, the program had developed a wide curriculum for eight classes in probability and statistics, with more than 200 students and 8 graduates who became the core force in conducting research and disseminating the knowledge of probability and statistics in China. In an era of pushing theory toward applications in the 1960s, a remarkable job of introducing the orthogonal experimental design to practices in industry was carried out by faculty and students of Peking University. In 1972 Professor Zepei Jiang (Tse-Pei Chiang), a prestigious scholar in probability and statistics, succeeded Hsu as the director of the Division. After ten years of the Culture Revolution, faculty members made a great effort to speed up the development.

Research Interests

Financial Statistics, Actuarial Sciences

1. Application of Levy process in finance

2. Statistical learning in finance

3. Stochastic modelling of Asset and liability management in Life insurance

4. investment and trading strategy  

Selected publications： 

[1]Shiyu Han, Lan Wu and Yuan Cheng, Equity market impact modeling: an empirical analysis for the Chinese market, Journal of Risk,Volume 20, Issue 6 (August 2018)75-97

[2]Bai Yang, Lan Wu, 2018, Analytic value function for optimal regime-switching pairs trading rules,Quantitative Finance,Volume 18, Issue 4,637-654

[3] Lan Wu, Jiang Zhou, Shuang Yu, 2017. Occupation times of general Lévy processes. Journal of Theoretical Probability 30, 1565-1604.