Introduction to the Department of Financial Mathematics in Peking University In order to meet the needs of developing the socialist market economy in China, especially the needs of financial reform and preventing financial risks, Peking University officially approved the establishment of the Department of Financial Mathematics in the School of Mathematical Sciences, numbered 1997. This is the first undergraduate department named after financial mathematics in the world. Financial mathematics is a burgeoning discipline in recent ten years, which has been highly valued in the international financial and applied mathematics circles. 1997 The Nobel Prize in Economics was awarded to Scholes and Merton in recognition of their outstanding contributions in the fields of financial mathematics such as option pricing (such as the famous Black Scholes formula). With the transformation of China's economic system from planned economy to socialist market economy, the securities industry and insurance industry have developed rapidly, and the financial industry has gradually realized international integration and participated in international competition. There is an increasing demand for financial talents in society, not only in quantity, but also in level, especially financial professionals who can do quantitative analysis. In order to cultivate new compound financial talents with basic financial knowledge and good mathematical training, Peking University Institute of Mathematical Sciences established the Department of Financial Mathematics. It has been two years since/kloc-0 was formally established in July, 1997. Now it has begun to take shape. First, the teaching plan for undergraduate and graduate students has been initially established. Mainly refer to the training programs of undergraduate and master of financial mathematics in internationally renowned universities, and seek the opinions of relevant teachers from Peking University School of Economics and Guanghua School of Management. The guiding ideology is that the teaching of financial mathematics must embody the combination of arts and sciences. Our undergraduate course mainly consists of three aspects: 1) mathematical foundation, strengthening probability and statistics, stochastic process, differential equation and calculation method; 2) Economic and financial foundation, mainly relying on the existing excellent teachers and teaching experience of Peking University School of Economics and Guanghua School of Management, requires our students to choose microeconomics, macroeconomics, money and banking, international finance and other related courses; 3) Financial mathematics specialized courses closely related to financial mathematics, such as interest theory and its application, life insurance actuarial, option futures and other derivatives, securities investment and risk theory, have been offered by our teachers, and such courses will be increased one after another. Our curriculum design is valued by our brother colleges, and people often come to our department to ask for teaching plans of financial mathematics. City University of Hong Kong and Polytechnic University invited our department heads to Hong Kong to discuss the teaching of financial mathematics. In addition, the teaching plan for graduate students has also been initially formulated. Our department has a good foundation in actuarial teaching and has been sponsored by Swiss Reinsurance Company. Since 1997, our students have taken the actuary examination in North America for three consecutive times, with excellent results. Two of them tied for the first place in the world, and three won the top five, with US$ 200 and US$ 65,438+000 respectively. By the beginning of 1999, there were three classes of undergraduates in our department, from grade two to grade four. Two grades and six graduate students. A postdoctoral fellow studying financial mathematics has arrived at the station. In 2000, there will be the first batch of financial mathematics graduates. 1July, 1999, the first batch of financial mathematics undergraduates graduated. Of the 23 graduates, 2 went abroad to study for doctoral degrees in financial mathematics, 9 were admitted as graduate students in financial mathematics by Peking University, Tsinghua, Chinese Academy of Sciences and Fudan University, 2 went to work in banks, 1 went to work in insurance companies, the rest went to work in various computer companies, and some were engaged in financial-related software development. At present, there are 7 faculty members in our department, including 4 full and associate professors and many part-time professors. Over the past year, we have not only undertaken the teaching and scientific research tasks of the whole department, but also made active efforts in carrying out foreign exchanges and cooperation and achieved certain results. Second, a good start for scientific research. Shortly after the establishment of the department, we participated in a research project entrusted by the Fund Committee and the State Science and Technology Commission: risk analysis and prevention of science and technology loans. After nearly half a year's efforts, we cooperated with the comrades of Peking University Financial Mathematics and Financial Engineering Center and successfully completed the research task of this topic. In particular, Professor Sun Shanze's data analysis results have been well received by the comrades in the science and technology commission and the financial sector. The national key project "Insurance Information Office and Actuarial Mathematics Theory and Method" led by Professor Hu Dekun and attended by two teachers from our department was officially launched on 1999. Professor Xie Zhongjie has made good achievements in the application of time series and wavelet technology in exchange rate research, and has cooperated with the Hong Kong Polytechnic University. Professor Huang Wenzao and Professor Wang Duo also began to study nonlinear dynamics in economy and finance. We are discussing the teaching and research cooperation of financial mathematics with City University of Hong Kong, Polytechnic University and Chinese University. We are also willing to cooperate with relevant parties in social security research. Our open scientific research project of financial mathematics has also been launched, which will support several cross-departmental cooperation projects. Third, actively strive for cooperation with the financial sector. Since the establishment of the department, it has actively explored cooperation with the financial sector, and has contacted and discussed cooperation with many banks, securities companies and insurance companies. At present, our department has been supported by many financial institutions at home and abroad: Swiss Reinsurance Company provides registration fees for teachers and students of our department to take actuarial examinations in North America, and provides actuarial information for our department free of charge; The Global Actuaries Association designated our department as the information center of the Association and provided books and materials for our department free of charge; United Securities Co., Ltd. sponsored our department to build a financial mathematics laboratory, which provided favorable conditions for teaching and scientific research, and will carry out some research projects in combination with practice; Huaxia Securities Co., Ltd. sponsored us to hold an international seminar on financial mathematics and financial risk prevention in early September 1998. Dr. Lin, Vice President of Huaxia Securities Company, also offered the course "Financial Risk Analysis" for our department. PICC Life Insurance Company, Ping An Insurance Company, Xinhua Life Insurance Company, Beijing Securities Company and Mainland Futures Company also arranged for students to participate in social practice activities, enriching their knowledge of financial practice. Fourth, actively and steadily carry out public opinion propaganda and strengthen exchanges and cooperation with the financial sector. On April 29th, 1998, the second edition of Beijing Youth Daily published an interview article: "Universities in China aim at Wall Street", which was the first time in China to introduce the Department of Financial Mathematics in Peking University in detail in the news media. In the evening, CCTV 2 reported the news of the signing of Peking University's Integrity Financial Mathematics Laboratory in China Financial Report. On April 30th, the Financial Times, china securities journal and other major financial newspapers also reported this news. On May 18, Beijing People's Broadcasting Station conducted a live interview with Wang Duo, director of the Department of Financial Mathematics. On July 4th, china securities journal published "Mathematical Tools: Darling of Modern Financial Industry" on the front page, and reported the Department of Financial Mathematics in Peking University again through an exclusive interview. These propaganda have made our department's influence at home and abroad expand rapidly, creating better conditions for the development of teaching and scientific research in our department. 5. Hold "Advanced Seminar on Financial Mathematics". With the approval of the Ministry of Education, our Ministry hosted a national seminar on financial mathematics from August 28th to September 8th, 1998. Universities and financial institutions 1 10 attended, with nearly 60 associate professors. During the seminar, an international seminar on financial mathematics and financial risk prevention was also held. Academician Ma Zhiming, head of the Financial Hedging Countermeasure Research Group of China Academy of Sciences, and other experts at home and abroad made wonderful reports at the meeting. The goal of the Department of Financial Mathematics is to improve the teaching plan, carry out in-depth scientific research, strengthen cooperation and exchange, and strive to build our department into a talent training and scientific research base for financial mathematics. Our recent work focuses on: 1) further improving the teaching plan. Adjust the teaching plan of undergraduate and graduate students appropriately to make it more systematic and comprehensive. At the same time, each course has a detailed outline and course introduction. 2) Further strengthen the construction of teaching materials, strive for each course of financial mathematics to be included in the school teaching material construction plan, and ensure that each course has its own handout as soon as possible, and some courses can produce self-compiled teaching materials. 3) Carry out in-depth scientific research, on the one hand, strive to publish high-level papers as soon as possible, on the other hand, strive to carry out research projects related to China's financial reality as soon as possible. 4) Consolidate and strengthen the existing ties with the financial sector, and strive for cooperation with more financial institutions. 5) Improve the financial mathematics laboratory. On the one hand, it realizes the function of receiving and transmitting financial information, which provides a good environment for connecting with practical scientific research topics; on the other hand, it strengthens management and creates a more convenient software and hardware environment for teachers and students. 6) Cultivate modern financial talents through various channels. In order to meet the country's demand for new financial talents, we should create conditions to recruit in-service graduate students as soon as possible, and jointly train graduate students with foreign countries to train in-service financial talents.