Website
http://dataportal.arc.gov.au/NCGP/API/grants/DP190102674
Funding Status
Active
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Funded Activity Summary
Two-price quantitative finance. This project aims to establish a novel field, namely two-price quantitative finance, and explore its applications. The new field will integrate two major schools for modelling and explain the presence of two prices, the buying and selling prices, widely observed in the real-world markets, and the equilibrium approach from the fundamental law of one price. The outcomes would deepen our understanding of the fundamental relationship among liquidity, prices, risk and the economy. This project expects to bring about long-term impact on quantitative finance and related applications through providing a deep understanding of, and a new perspective for, the design, risk and fairness of the finance, property and insurance markets.Funded Activity Details
Start Date: 02-2019
End Date: 12-2023
Funding Scheme: Discovery Projects
Funding Amount: $450,000.00
Funder: Australian Research Council
Research Topics
ANZSRC Field of Research (FoR)
Calculus of Variations, Systems Theory and Control Theory | Financial Mathematics | Applied Mathematics | Stochastic Analysis and Modelling |
ANZSRC Socio-Economic Objective (SEO)
Command, Control and Communications | Investment Services (excl. Superannuation) | Expanding Knowledge in the Mathematical Sciences
