New Stochastic Processes with Applications in Finance. This project investigates the properties and the use of two new families of models with applications in Finance, and beyond. It will contribute to the development of fundamental research in mathematics and its applications. The project will produce more realistic financial models that will benefit researchers in this field. This will in turn have a flow on effect to benefit the wider community. The project will provide for postgraduate train ....New Stochastic Processes with Applications in Finance. This project investigates the properties and the use of two new families of models with applications in Finance, and beyond. It will contribute to the development of fundamental research in mathematics and its applications. The project will produce more realistic financial models that will benefit researchers in this field. This will in turn have a flow on effect to benefit the wider community. The project will provide for postgraduate training and international scientific exchange. Overall, the project will strengthen Australia's standing at the forefront of fundamental and applied research.Read moreRead less
The pricing and risk management of reverse mortgages in the Australian market. This project will develop new methodologies for the pricing of reverse mortgages and will examine how sensitive prices are to demographic and financial assumptions in our models. This will increase transparency in the reverse mortgage market for retired Australians and ensure they get a fair deal. Increasing pricing transparency will also reduce risks to the issuing banks both by facilitating securitization and by all ....The pricing and risk management of reverse mortgages in the Australian market. This project will develop new methodologies for the pricing of reverse mortgages and will examine how sensitive prices are to demographic and financial assumptions in our models. This will increase transparency in the reverse mortgage market for retired Australians and ensure they get a fair deal. Increasing pricing transparency will also reduce risks to the issuing banks both by facilitating securitization and by allowing more accurate modelling of capital costs for mortgages that remain on their balance sheet.Read moreRead less