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