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
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
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
G-expectation and its applications to nonlinear risk management. This project will develop novel theories and methods for nonlinear risk management based on nonlinear expectations and Backward Stochastic Differential Equations. The expected outcomes of the project will place Australia in the forefront and the leading position of these fields.
Australian Laureate Fellowships - Grant ID: FL210100110
Funder
Australian Research Council
Funding Amount
$3,021,288.00
Summary
New Approaches to Understand How Form and Function Shape Complex Systems. As biology and medicine transform into quantitative sciences, existing mathematical methods are often inadequate to explain the data they generate. This project aims to unlock the potential of such biomedical data through the development of new mathematical approaches that combine concepts from pure and applied mathematics, statistics and data science, and then to investigate their ability to generate mechanistic insight i ....New Approaches to Understand How Form and Function Shape Complex Systems. As biology and medicine transform into quantitative sciences, existing mathematical methods are often inadequate to explain the data they generate. This project aims to unlock the potential of such biomedical data through the development of new mathematical approaches that combine concepts from pure and applied mathematics, statistics and data science, and then to investigate their ability to generate mechanistic insight into fundamental biomedical processes. In this way, the project expects to affect a paradigm shift in mathematical biology while strengthening Australia’s reputation as a world-leader in mathematical biology. An outcome from this project could be new mathematical models that guide decision making in the clinic.Read moreRead less
Mathematical measurement and modelling of neuronal degeneration. Currently about 150,000 Australian's suffer from cognitive impairment due to Alzheimer's disease or dementia and this number is expected to double over the next few decades. By combining newly developed mathematical methods in complex systems with sophisticated neural imaging we will develop new techniques to advance the diagnosis and treatment of cognitive decline in normal ageing and neurodegenerative disease.
This project will ....Mathematical measurement and modelling of neuronal degeneration. Currently about 150,000 Australian's suffer from cognitive impairment due to Alzheimer's disease or dementia and this number is expected to double over the next few decades. By combining newly developed mathematical methods in complex systems with sophisticated neural imaging we will develop new techniques to advance the diagnosis and treatment of cognitive decline in normal ageing and neurodegenerative disease.
This project will also maintain the collaborative link between researchers in Biomathematics at Mount Sinai School of Medicine, New York and researchers in Applied Mathematics at UNSW that enables training of Australian scientists in the vital area of mathematical bio-complexity.Read moreRead less
Can an anti-HIV gene in blood stem cells protect from immune depletion by HIV? Approximately 15,000 individuals in Australia are currently HIV infected. Gene therapy has the capacity to remove antiretroviral treatment related issues, dramatically decrease treatment costs and simplify treatment of HIV.
In this study we will model a new approach to treat HIV in which the patient's own cells are used as the therapy by incorporating an anti-HIV gene. These cells are then re-introduced into the p ....Can an anti-HIV gene in blood stem cells protect from immune depletion by HIV? Approximately 15,000 individuals in Australia are currently HIV infected. Gene therapy has the capacity to remove antiretroviral treatment related issues, dramatically decrease treatment costs and simplify treatment of HIV.
In this study we will model a new approach to treat HIV in which the patient's own cells are used as the therapy by incorporating an anti-HIV gene. These cells are then re-introduced into the patient.
The strong mathematical focus of this project, and its application to a promising approach against HIV, will place Australia at the forefront of the mathematics of gene research and contribute to the National Priority Area of Promoting and Maintaining Good Health and the Priority Goal of Preventative Healthcare.
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Mathematical models and bioinformatic analyses of bacterial genome evolution. Bacteria are vital agents in earth's biosphere, breaking down and synthesising a wide variety of compounds. Some bacteria cause disease; others are exploited for a range of biotechnological applications. Bacteria have a remarkable ability to survive and thrive in changing conditions. For example, pathogenic bacteria confronted by antibiotics easily evolve resistance to them. With the reality of climate change, we expec ....Mathematical models and bioinformatic analyses of bacterial genome evolution. Bacteria are vital agents in earth's biosphere, breaking down and synthesising a wide variety of compounds. Some bacteria cause disease; others are exploited for a range of biotechnological applications. Bacteria have a remarkable ability to survive and thrive in changing conditions. For example, pathogenic bacteria confronted by antibiotics easily evolve resistance to them. With the reality of climate change, we expect more rapid shifts in the structure of bacterial communities, possibly leading to the emergence of new pathogens. The benefits of this project are to discover how the genetic structure of bacteria confer this flexibility, and to help keep Australia at the forefront of research in bioinformatics and mathematical biology.
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Multiscale modelling: Applications to the Biomedical Sciences. 1) Significant reductions in the costs of developing pharmaceutical treatments, 2) Substantial reduction in hospitalisation costs, 3) Improved treatment of wounds, a significant cause of chronic ill-health which presently costs the Australian HealthCare System A$500,000,000/year.
Mathematical modelling can provide vital information on the effectiveness and practical implementation of microbicides and vaccines against HIV. This project will produce mathematical models of the earliest stages of HIV infection suitable for investigation of the implementation of vaccines and microbicides. It will provide a framework to investigate why these interventions have performed poorly to date, and how these may be better implemented.