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
Risk and Reliability in Stochastic Optimisation and Equilibrium. This project seeks to develop theory and methodology in optimisation which take advantage of recent progress in understanding and treating risk in decision making. Problems of optimisation in the face of uncertainty must confront the risk inherent in having to make reliable decisions before knowing the outcomes of crucial random variables on which costs and constraints may depend. Recent theoretical developments, featuring ‘measure ....Risk and Reliability in Stochastic Optimisation and Equilibrium. This project seeks to develop theory and methodology in optimisation which take advantage of recent progress in understanding and treating risk in decision making. Problems of optimisation in the face of uncertainty must confront the risk inherent in having to make reliable decisions before knowing the outcomes of crucial random variables on which costs and constraints may depend. Recent theoretical developments, featuring ‘measures of risk’ beyond just-expected values and quantiles offer hope of major new advances. This project aims to achieve such advances not only in optimisation but also in models of equilibrium that likewise have to deal with uncertainty. Extending current theory and methodology to such multi-stage stochastic models is a challenge. Besides taking up this challenge for its own sake, a major goal of this research will be to use the results in solution algorithms.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.
Human skin equivalent constructs: enhanced culturing and application of laboratory-grown skin through mathematical modelling and in silico experimentation. Laboratory-grown human skin equivalent constructs, given social and legislative imperatives, will be critical for advances in novel treatment protocol definitions for wound repair, dermatogical screening of pharmacueticals and fundamental studies of skin diseases.
In silico studies undertaken in this project will make a significant contrib ....Human skin equivalent constructs: enhanced culturing and application of laboratory-grown skin through mathematical modelling and in silico experimentation. Laboratory-grown human skin equivalent constructs, given social and legislative imperatives, will be critical for advances in novel treatment protocol definitions for wound repair, dermatogical screening of pharmacueticals and fundamental studies of skin diseases.
In silico studies undertaken in this project will make a significant contribution to the effectiveness of the application of human skin constructs, by delivering new and deeper insights into the interplay between dependent processes that regulate the behaviour of skin, in vivo or ex vivo. The models and the researchers associated with this project will drive innovative studies in medical science over the next decade.Read moreRead less
A Mathematical Model of the Roles of Contraction and Oxygen in Human Wound Healing. Slow or impaired wound healing and excessive scarring associated with burns are both painful and costly. Moreover, the debilitating effect of chronic wounds can be expected to increase with the continuing aging of the population and the current rise in incidence of Type 2 diabetes. This project brings together a multidisciplinary team to develop a mathematical model of human wound healing and to drive the modelli ....A Mathematical Model of the Roles of Contraction and Oxygen in Human Wound Healing. Slow or impaired wound healing and excessive scarring associated with burns are both painful and costly. Moreover, the debilitating effect of chronic wounds can be expected to increase with the continuing aging of the population and the current rise in incidence of Type 2 diabetes. This project brings together a multidisciplinary team to develop a mathematical model of human wound healing and to drive the modelling to generate important breakthroughs at the level of basic science with implications for both experimentalists and clinicians.Read moreRead less
A new hierarchy of mathematical models to quantify the role of ghrelin during cell invasion. Ghrelin is a recently-discovered growth factor that regulates appetite and promotes tumour growth by enhancing cell invasion. The mechanisms by which ghrelin enhances cell invasion are, at present, unknown. This innovative project will develop a new hierarchy of multiscale mathematical models that will be used to quantify how ghrelin modulates cell behaviour (motility, proliferation and death) and provid ....A new hierarchy of mathematical models to quantify the role of ghrelin during cell invasion. Ghrelin is a recently-discovered growth factor that regulates appetite and promotes tumour growth by enhancing cell invasion. The mechanisms by which ghrelin enhances cell invasion are, at present, unknown. This innovative project will develop a new hierarchy of multiscale mathematical models that will be used to quantify how ghrelin modulates cell behaviour (motility, proliferation and death) and provide insight into the precise details of how ghrelin promotes cell invasion. This project will demonstrate the potential for ghrelin-based strategies to control cell invasion. By linking appetite regulation and tumour growth, the outcomes from this project will inform Australian health policy in this important area.Read moreRead less
Creating subject-specific mathematical models to understand the brain. This project aims to develop a mathematical framework that bridges the different scales of brain activities to provide a new tool for understanding the brain. Methods will be developed that unify individual neural activity with large scale brain activity. The approach will be validated by comparing predictions of interconnected models of neural populations (called mean-field models) to experimental data. The creation of subje ....Creating subject-specific mathematical models to understand the brain. This project aims to develop a mathematical framework that bridges the different scales of brain activities to provide a new tool for understanding the brain. Methods will be developed that unify individual neural activity with large scale brain activity. The approach will be validated by comparing predictions of interconnected models of neural populations (called mean-field models) to experimental data. The creation of subject-specific models from data is important, as there is large variability in neural circuits between individuals despite seemingly similar network activity. The intended outcome is new insights into the processes that govern brain function and methods for improving functional imaging of, and interfacing to, the brain.Read moreRead less
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