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
Three-dimensional Bayesian Modelling of Geological and Geophysical data. The project aims to develop technologies enabling rapid informed decision-making related to the management of natural resources, including critical metals, copper and water. This new technology will support a greener future, securing our energy future, our access to clean water and reduce the mining footprint. Expected outcomes include an enhanced capability in interoperable, integrated three-dimensional geological and geop ....Three-dimensional Bayesian Modelling of Geological and Geophysical data. The project aims to develop technologies enabling rapid informed decision-making related to the management of natural resources, including critical metals, copper and water. This new technology will support a greener future, securing our energy future, our access to clean water and reduce the mining footprint. Expected outcomes include an enhanced capability in interoperable, integrated three-dimensional geological and geophysical modelling in order to predictively characterise sub-surface geology. The outcome will be an open-source forecasting dashboard enabling decision making while considering underlying risk related to resource extractions and management with significant benefits to the Australian society (lower emissions, clean water).Read moreRead less
Industrial Transformation Research Hubs - Grant ID: IH200100009
Funder
Australian Research Council
Funding Amount
$5,000,000.00
Summary
ARC Research Hub for Transforming Energy Infrastructure Through Digital Engineering. This Research Hub will harness the strengths of data-based and physics-based sciences to transform the operation of Australia’s offshore energy infrastructure. This essential research will create, use and embed observations of past and ongoing activity to engineer tools and approaches necessary to enhance our understanding of the offshore environment, optimise critical operations for existing facilities (includi ....ARC Research Hub for Transforming Energy Infrastructure Through Digital Engineering. This Research Hub will harness the strengths of data-based and physics-based sciences to transform the operation of Australia’s offshore energy infrastructure. This essential research will create, use and embed observations of past and ongoing activity to engineer tools and approaches necessary to enhance our understanding of the offshore environment, optimise critical operations for existing facilities (including installation and maintenance), and efficiently design future infrastructure. The integrated multidisciplinary approach will not only help Operators achieve high productivity through low downtime and optimised maintenance, but also demonstrate, in research and industry, the transformative potential of digital engineering.Read moreRead less
Enabling three dimensional stochastic geological modelling. This project aims to develop technologies to mitigate three dimensional (3D) geological risk in resources management. This project expects to create new knowledge and methods in the field of 3D geological modelling through the innovative application of mathematical methods, structural geology concepts and probabilistic programming. The expected outcomes are an enhanced capability to model the subsurface, characterise model uncertainty a ....Enabling three dimensional stochastic geological modelling. This project aims to develop technologies to mitigate three dimensional (3D) geological risk in resources management. This project expects to create new knowledge and methods in the field of 3D geological modelling through the innovative application of mathematical methods, structural geology concepts and probabilistic programming. The expected outcomes are an enhanced capability to model the subsurface, characterise model uncertainty and test multiple geological scenarios. This enhanced capability is important for the future of Australia's subsurface management, including urban geology and our continuously growing sustainable resources industry.Read moreRead less
Computational methods for population-size-dependent branching processes. Branching processes are the primary mathematical tool used to model populations that evolve randomly in time. Most key results in the theory are derived under the simplifying assumption that individuals reproduce and die independently of each other. However, this assumption fails in most real-life situations, in particular when the environment has limited resources or when the habitat has a restricted capacity. This project ....Computational methods for population-size-dependent branching processes. Branching processes are the primary mathematical tool used to model populations that evolve randomly in time. Most key results in the theory are derived under the simplifying assumption that individuals reproduce and die independently of each other. However, this assumption fails in most real-life situations, in particular when the environment has limited resources or when the habitat has a restricted capacity. This project aims to develop novel and effective algorithmic techniques and statistical methods for a class of branching processes with dependences. We will use these results to study significant problems in the conservation of endangered island bird populations in Oceania, and to help inform their conservation management.Read moreRead less
Mathematics for breaking limits of speed and density in magnetic memories. The aim of this project is to develop a mathematical theory and numerical models of stochastic partial differential equations for magnetic nano-structures. Such materials will yield next-generation magnetic memories with up to three orders of magnitude faster switching speeds and dramatically increased data storage density. New mathematical theories will help understand their sensitivity to small random fluctuations that ....Mathematics for breaking limits of speed and density in magnetic memories. The aim of this project is to develop a mathematical theory and numerical models of stochastic partial differential equations for magnetic nano-structures. Such materials will yield next-generation magnetic memories with up to three orders of magnitude faster switching speeds and dramatically increased data storage density. New mathematical theories will help understand their sensitivity to small random fluctuations that can destroy stored information. This project aims to revolutionise mathematical modelling of magnetic memories and put Australia at the forefront of international research. Technological advances to create much smaller and faster memory devices are expected to enable groundbreaking ways of managing and mining big data.Read moreRead less
Estimation and Control of Noisy Riemannian Systems. Many application areas such as satellite control, computer vision, coordination of rigid bodies, require the estimation and control of systems subject to geometric constraints. Most current algorithms for doing this are deterministic and can fail catastrophically in the presence of noise. This project aims to provide:
(i) Methods for analysing and then redesigning deterministic algorithms to ensure stability in the presence of noise;
(ii) New ....Estimation and Control of Noisy Riemannian Systems. Many application areas such as satellite control, computer vision, coordination of rigid bodies, require the estimation and control of systems subject to geometric constraints. Most current algorithms for doing this are deterministic and can fail catastrophically in the presence of noise. This project aims to provide:
(i) Methods for analysing and then redesigning deterministic algorithms to ensure stability in the presence of noise;
(ii) New design methods that deal with noise in an optimal way;
(iii) Noise resistant methods for distributed consensus seeking systems and cooperative control systems.
The outcomes will advance and benefit spatio-temporal data analysis and coordination in areas such as transport, health and video-security.Read moreRead less
Large Markov decision processes and combinatorial optimisation. Markov decision processes continue to gain in popularity for modelling a wide range of applications ranging from analysis of supply chains and queueing networks to cognitive science and control of autonomous vehicles. Nonetheless, they tend to become numerically intractable as the size of the model grows fast. Recent works use machine learning techniques to overcome this crucial issue, but with no convergence guarantee. This project ....Large Markov decision processes and combinatorial optimisation. Markov decision processes continue to gain in popularity for modelling a wide range of applications ranging from analysis of supply chains and queueing networks to cognitive science and control of autonomous vehicles. Nonetheless, they tend to become numerically intractable as the size of the model grows fast. Recent works use machine learning techniques to overcome this crucial issue, but with no convergence guarantee. This project aims to provide theoretically sound frameworks for solving large Markov decision processes, and exploit them to solve important combinatorial optimisation problems. This timely project can promote Australia's position in the development of such novel frameworks for many scientific and industrial applications.Read moreRead less
Advanced Bayesian Inversion Algorithms for Wave Propagation. This project aims to improve algorithms for detecting hidden items by developing new computational mathematical techniques capable of reconstructing the shape and location of objects using electromagnetic waves. This project expects to generate new knowledge in the areas of Bayesian Inversion and computational wave propagation. Expected outcomes of this project are algorithms that can be developed for use in nonintrusive radio wave sec ....Advanced Bayesian Inversion Algorithms for Wave Propagation. This project aims to improve algorithms for detecting hidden items by developing new computational mathematical techniques capable of reconstructing the shape and location of objects using electromagnetic waves. This project expects to generate new knowledge in the areas of Bayesian Inversion and computational wave propagation. Expected outcomes of this project are algorithms that can be developed for use in nonintrusive radio wave security scanners. This should provide benefits such as the capability to scan a crowd without a checkpoint, which will have the potential to improve security in public places.Read moreRead less