This award provides support for the 4th Western Conference in Financial Mathematics (WCFM) and the 6th International Symposium on Backward Stochastic Differential Equations (ICBSDE), held back-to-back on June 6-10, 2011 in the vicinity of the University of Southern California campus. The main objectives are to bring together researchers in the areas of financial mathematics, insurance, and statistics from the Western U.S. and international researchers in the field of BSDEs and Stochastic Analysis, among them many are experts in Mathematical Finance and Stochastic Control Theory. The WCMF conference follows a sequence started at Stanford in 2007, followed by Austin in 2008 and UC Santa Barbara in 2009. The ICBSDE Symposium commenced in 1996 at the University of Paris VI, taking place every 3 years alternately in France and China. This is the first time it will be held in the United States. The two conferences will provide platforms for applied mathematicians, probabilists, and statisticians to present their recent work and initiate new projects. It is also expected to foster fruitful exchanges of ideas and to encourage new interactions between the Financial Mathematics and the BSDE communities, since the two fields have had significant overlaps in recent years.
The proposers have made notable contributions in backward stochastic differential equations and their applications in finance, and the USC Mathematical Finance Colloquium has recently hosted many prominent researchers in both BSDEs and financial mathematics. It is expected that the two conferences will involve about a hundred researchers and graduate students. It is planned to include a significant number of participants in the early stages of their careers. Special effort will be made to give visibility to women and members of minority groups as invited speakers. All papers presented at the conferences will be disseminated via a website and made available to a wide international community. The conferences will also expose advanced undergraduates and beginning graduate students to cutting-edge research and encourage them to undertake further studies in the fields of Math Finance and BSDEs.
Conference web site: http://www-bcf.usc.edu/~njamison/conference/main2.html
The NSF Grant DMS #1059909 resulted in two conferences: the "4th Western Conference in Financial Mathematics (WCFM)" and the "6th International Symposium on Backward Stochastic Differential Equations (ISBSDE)," successfully held back-to-back on June 6-7, and June 8-10, 2011, respectively, at University of Southern California. The two conferences brought together researchers from various areas of financial mathematics, insurance, stochastic control, and stochastic analysis, to discuss and disseminate their results. The conferences drew in around 120 registered participants, including 14% of women, from more than a dozen of countries around the globe. It is worth noting that many of the presenters are researchers in the early stage of their careers, some were senior Ph.D students. Due to the support from other sourses the 2011 conferences have a small amount of surplus. The remaining funds were used to support the Ph.D students and junior researchers to attend the 5th WCMF conference held in Stanford University in May, 2013. Intellectual Merit. The two conferences provided a platform for applied mathematicians, probabilitists and statisticians to disseminate their recent work, from which we believe some new collaborations were initiated. Because of the strong overlapping of the research topics in the two conferences, the majority of the participants opted to attend both conferences, which facilitated the interactions between the Financial Mathematics and the BSDE communities. These interactions are expected to lead to new developments in both areas. Broader Impact. The two conferences involved a large number of young researchers and Ph.D students, many of them gave presentations during the conferences. All of them were given a venue for exchanging ideas and privates communications, so they could find ample opportunities to interact both with their peers and with more senior researchers. The conferences had a visible presence of women, as plenary/invited/contributed speakers. The conferences also exposed the cutting edge research in the fields of Math Finance and BSDEs to local undergraduates and graduate students. It is hopeful that some of them will join force in undertaking further studies or pursuing a higher degree in these fields in the future. The results presented in the conferences have been disseminated electronically on a conference website. In particular, all the slides presented at the conferences were, upon authors' permission, made available not only to attendees, but also to general public.
