During the period of 1993, Peng Shige sent students to investigate and understand the futures market, and he was keenly aware of some serious problems in China option futures trading. At that time, most enterprises and institutions knew little about the hedging function of futures and options. Without knowing the huge risks hidden in this modern financial tool and how to measure and avoid such financial risks, they blindly invest and trade overseas futures and options. Every time an investor makes a single transaction, the probability of losing is greater than 70%, and the probability of winning is less than 30%. So he wrote two letters, one to President Pan Chengdong, who immediately handed it over to the vice governor of Shandong Province, and the other to the National Natural Science Foundation of China.
In his letter, he stated his basic views on the international futures and options market, as well as the huge risks faced by China in developing overseas futures exchanges at that time, and suggested that the research on risk analysis and control of the international futures market should be carried out as soon as possible to strengthen the training of senior financial talents. Peng Shige also personally went to Beijing to express his opinions to the leaders of the National Natural Science Foundation of China. Later, Shandong Province immediately stopped overseas futures trading. The National Natural Science Foundation of China also issued a document soon, forwarding Peng Shige's letter of recommendation to the Central Financial and Economic Leading Group, demanding that corresponding measures be taken to avoid the massive loss of China's national financial assets. Since then, the National Natural Science Foundation of China has been paying attention to and supporting Peng Shige's research work in the field of financial mathematics.
Applying mathematical theory to financial research can determine the direction of tens of billions of dollars, and Peng Shige is increasingly aware of the guiding role of basic research results in national macroeconomic decision-making. 1996 10 February 10, the National Natural Science Foundation of China held an expert meeting in Beijing, reviewed Peng Shige's report, and launched a major project of the National Natural Science Foundation, "Financial Mathematics, Financial Engineering and Financial Management". Peng Shige is the first person in charge of this project, and experts and scholars from 20 units including China Academy of Sciences, Fudan University, Nankai University, Zhejiang University, Tsinghua University, China People's Bank, Ministry of Finance and State Taxation Administration of The People's Republic of China have conducted comprehensive research in this field. This is the only major project listed in the discipline of management and mathematics by the National Natural Science Foundation during the Ninth Five-Year Plan period, and it also marks the beginning of a process of financial mathematics in China from scratch.
Peng Shige's formula is also applicable to financial markets under incomplete and irregular conditions. Therefore, Peng Shige's article is called "basic paper", which lays an important foundation for the construction of financial mathematics theory. In China, finance has always belonged to the liberal arts, which lags far behind the world level. Peng Shige's theoretical achievements make China a rising star in this field, and rank among the forefront of international financial mathematics. Peng Shige led his students to do a lot of research work in the fields of economy, financial mathematics and control. In view of the problems that need to be solved urgently in many social and economic fields, he has achieved a series of research results, which have been highly praised by domestic experts and leaders.