Retirement income product innovation. This project aims to develop and assess comprehensive retirement income products to support sustainable retirement income streams for the Australian superannuation system. It will provide a framework to develop flexible structured retirement income products, taking into account the fair and effective allocation of costs and risks. Actuarial and financial analysis will highlight savings in Age Pension and aged care costs arising from more effective design of ....Retirement income product innovation. This project aims to develop and assess comprehensive retirement income products to support sustainable retirement income streams for the Australian superannuation system. It will provide a framework to develop flexible structured retirement income products, taking into account the fair and effective allocation of costs and risks. Actuarial and financial analysis will highlight savings in Age Pension and aged care costs arising from more effective design of retirement income products incorporating investment and longevity risk. It intends to develop risk sharing retirement products, risk management strategies, and longevity index-based hedging contracts to share and mitigate financial and longevity risk.Read moreRead less
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 ....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.Read moreRead less
Fair pricing of superannuation guaranteed benefits with downturn risk. Australians have more than $2.7 trillion in superannuation assets, meaning that Australia is the fourth largest holder of pension fund assets worldwide. Hence the impact of market fluctuations on financial well-being of retirees can be detrimental, especially during market downturns associated with economic crises. The finance industry addresses this issue by complementing variable annuities with riders designed to protect th ....Fair pricing of superannuation guaranteed benefits with downturn risk. Australians have more than $2.7 trillion in superannuation assets, meaning that Australia is the fourth largest holder of pension fund assets worldwide. Hence the impact of market fluctuations on financial well-being of retirees can be detrimental, especially during market downturns associated with economic crises. The finance industry addresses this issue by complementing variable annuities with riders designed to protect the income stream of retirees. This project aims to develop a novel approach to fair pricing and optimal withdrawals and surrender policies for superannuation guaranteed benefit products through a comprehensive analysis of complex optimisation problems in stochastic models of financial markets with downturn risk.Read moreRead less
Discovery Early Career Researcher Award - Grant ID: DE200101266
Funder
Australian Research Council
Funding Amount
$420,039.00
Summary
Demystifying Puzzles in Retirement Planning. This project aims to investigate optimal retirement planning with stochastic and ambiguous mortality/longevity risks not previously considered in a unifying framework. By using an innovative approach utilising techniques from actuarial science, financial mathematics and stochastic control, this project expects to generate new knowledge in the area of personal longevity risk management. Expected outcome of the project include new insights to several pu ....Demystifying Puzzles in Retirement Planning. This project aims to investigate optimal retirement planning with stochastic and ambiguous mortality/longevity risks not previously considered in a unifying framework. By using an innovative approach utilising techniques from actuarial science, financial mathematics and stochastic control, this project expects to generate new knowledge in the area of personal longevity risk management. Expected outcome of the project include new insights to several puzzling questions in retirement studies. This should provide significant benefits to retirement education for retirees facing the risk of outliving retirement savings, thereby mitigating the pressing challenge caused by population ageing and longevity risk to pension systems in many countries.Read moreRead less
The effect of bans on short selling: a comprehensive study. Although the 2008 financial crisis has greatly impeded the global economy, it has provided a rare opportunity for researchers to verify the truthfulness of some assumptions made on financial markets that are running without liquidity problems. This project will develop a new option pricing theory suitable for financial markets under some short-selling restrictions. Through exploring, from both empirical and theoretical points of view, h ....The effect of bans on short selling: a comprehensive study. Although the 2008 financial crisis has greatly impeded the global economy, it has provided a rare opportunity for researchers to verify the truthfulness of some assumptions made on financial markets that are running without liquidity problems. This project will develop a new option pricing theory suitable for financial markets under some short-selling restrictions. Through exploring, from both empirical and theoretical points of view, how short-selling bans will affect some important assumptions made in conventional option pricing theory, the newly developed option pricing framework should not only assist in trading options, but also assist market regulators to effectively use bans on short selling to stabilise financial markets.Read moreRead less
Can green investors drive the transition to a low emissions economy? The project aims to develop a game-theoretical approach to model the impact of climate change on financial markets by studying the interactions between the government, companies and investors. Expected outcomes include novel solution concepts for stochastic games with heterogeneous beliefs, asymmetric information, and model uncertainty, as well as optimal investment and production strategies under climate driven economic transi ....Can green investors drive the transition to a low emissions economy? The project aims to develop a game-theoretical approach to model the impact of climate change on financial markets by studying the interactions between the government, companies and investors. Expected outcomes include novel solution concepts for stochastic games with heterogeneous beliefs, asymmetric information, and model uncertainty, as well as optimal investment and production strategies under climate driven economic transitions. Results will be used to validate and improve the recently launched Australian based climate transition index. The project should yield significant benefits for the financial industry and investors by providing novel insights into financial risks during the transition to a low emissions economy.Read moreRead less
Discovery Early Career Researcher Award - Grant ID: DE200100896
Funder
Australian Research Council
Funding Amount
$427,008.00
Summary
How to beat model uncertainty with more information. Experience of the 2008 financial crisis exposed a weakness in our over-reliance on mathematical models. The main aim of this project is to develop mathematical tools to investigate the role of information in reducing model uncertainty. The project will undertake pressing research in robust finance, which is now one of the most active and dynamic topics in financial mathematics. It expects to quantify the value of information under uncertainty ....How to beat model uncertainty with more information. Experience of the 2008 financial crisis exposed a weakness in our over-reliance on mathematical models. The main aim of this project is to develop mathematical tools to investigate the role of information in reducing model uncertainty. The project will undertake pressing research in robust finance, which is now one of the most active and dynamic topics in financial mathematics. It expects to quantify the value of information under uncertainty in mathematical modelling. It will generate new knowledge in probability theory and stochastic processes providing a significant mathematical contribution in its own right.Read moreRead less
Liquidity in financial markets. This project aims to develop a theory which models the effect of liquidity on option prices under different market conditions. Economic or financial crises are inevitable and affect economics. During or after a major financial crisis, market liquidity usually becomes risky and needs to be studied. Through both empirical and theoretical explorations, this project will quantify and measure liquidity risk and its effect on the options markets. It will develop a frame ....Liquidity in financial markets. This project aims to develop a theory which models the effect of liquidity on option prices under different market conditions. Economic or financial crises are inevitable and affect economics. During or after a major financial crisis, market liquidity usually becomes risky and needs to be studied. Through both empirical and theoretical explorations, this project will quantify and measure liquidity risk and its effect on the options markets. It will develop a framework to help market regulators manage illiquidity, enhance the efficiency of option trading in illiquid markets and help in the detection of market manipulation.Read moreRead less
Very high dimensional computation - the new frontier in numerical analysis. High-dimensional problems, involving hundreds or thousands of variables, arise in applications from finance, health statistics and oil reservoir modelling to physics and chemistry. This project aims to develop the science of high-dimensional computation, as driven by important applications such as the flow of groundwater through a porous material.
Frontiers of Risk Modelling: Dependence and Extremes of Levy Processes. This project plans to continue an ongoing theoretical study into continuous-time stochastic processes, concentrating on developing tools for the further analysis and understanding of extremal and multivariate phenomena with applications to portfolio analysis, value-at risk calculations and complex financial instruments, with particular emphasis on practical applications of the methodologies in the insurance and finance indus ....Frontiers of Risk Modelling: Dependence and Extremes of Levy Processes. This project plans to continue an ongoing theoretical study into continuous-time stochastic processes, concentrating on developing tools for the further analysis and understanding of extremal and multivariate phenomena with applications to portfolio analysis, value-at risk calculations and complex financial instruments, with particular emphasis on practical applications of the methodologies in the insurance and finance industries. Expected outcomes would be of direct interest to these industries as well as having significant mathematical interest.Read moreRead less