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.
Resolving the mechanics of wind turbine noise production. This project will investigate how wind turbines produce noise. It will do this by developing the most sophisticated wind turbine noise experiment in the world, which will allow the construction of better designed wind farms, better public policy and new noise control technologies.
Understanding and preventing gun violence: A qualitative study. Gun violence causes significant harm across Australian communities. Excluding sexual assault, firearms feature in nearly one in 10 violent crimes. The annual costs of gun violence run into tens of millions of dollars. This project aims to make an original qualitative contribution to understanding and preventing gun violence in three contexts: drug dealing/trafficking, other organised crime activity, and armed robbery. The proposed r ....Understanding and preventing gun violence: A qualitative study. Gun violence causes significant harm across Australian communities. Excluding sexual assault, firearms feature in nearly one in 10 violent crimes. The annual costs of gun violence run into tens of millions of dollars. This project aims to make an original qualitative contribution to understanding and preventing gun violence in three contexts: drug dealing/trafficking, other organised crime activity, and armed robbery. The proposed research would be the first study nationally - and one of the very few internationally - to interview convicted gun crime users about the acquisition and use of firearms in criminal life. Project results are expected to have direct implications for reducing the impact of gun violence in Australia.Read moreRead less
Risk Measures and Management in Finance and Actuarial Science Under Regime-Switching Models. New models for assessing and managing risk of financial products will place Australia at the forefront of risk management. The work will also sustain the competitive edge of Australia as one of the major financial centres in the Asia-Pacific region through enhancing both the theory and practice of financial risk management. The project outcome will also benefit to the country in other areas of risk, for ....Risk Measures and Management in Finance and Actuarial Science Under Regime-Switching Models. New models for assessing and managing risk of financial products will place Australia at the forefront of risk management. The work will also sustain the competitive edge of Australia as one of the major financial centres in the Asia-Pacific region through enhancing both the theory and practice of financial risk management. The project outcome will also benefit to the country in other areas of risk, for example, environment risk, climate change, and energy and security problems.Read moreRead less
Structured barrier and penalty functions in infinite dimensional optimisation and analysis. Very large scale tightly-constrained optimisation problems are ubiquitous and include water management, traffic flow, and imaging at telescopes and hospitals. Massively parallel computers can solve such problems and provide physically realisable solution only if subtle design issues are mastered. Resolving such issues is the goal of this project.
Construction of near optimal oscillatory regimes in singularly perturbed control systems via solutions of Hamilton-Jacobi-Bellman inequalities. Problems of optimal control of systems evolving in multiple time scales arise in a great variety of applications (from diet to environmental modelling). This project addresses the challenge of analytically and numerically constructing rapidly oscillating controls that would 'near optimally coordinate' the slow and fast dynamics.
Resolving the mechanics of turbulent noise production. This project aims to dramatically develop our capacity to quieten modern transport, energy and defence technologies through a better understanding of how fluid turbulence creates sound. The outcome of the project will be a quieter modern environment leading to improved public health, an improved environment and a more secure nation.
Perturbations in Complex Systems and Games. This project aims to: advance the perturbation theory of dynamic and stochastic games; further develop approximations of infinite dimensional linear programs by their finite dimensional counterparts, and by finding asymptotic limits of spaces of occupational measures, by solution of successive layers of fundamental equations; explain and quantify the "exceptionality" of instances of systems that are genuinely difficult to solve; and, capitalise on the ....Perturbations in Complex Systems and Games. This project aims to: advance the perturbation theory of dynamic and stochastic games; further develop approximations of infinite dimensional linear programs by their finite dimensional counterparts, and by finding asymptotic limits of spaces of occupational measures, by solution of successive layers of fundamental equations; explain and quantify the "exceptionality" of instances of systems that are genuinely difficult to solve; and, capitalise on the outstanding performance of our Snakes-and-Ladders Heuristic (SLH) for the solution of the Hamiltonian cycle problem to identify its "fixed complexity orbits" and generalise this notion to other NP-complete problems.Read moreRead less
Evaluating consumer product regulatory responses to improve child safety. This project aims to quantify the level of similarity between consumer product regulatory practices and child injuries, and compare national approaches. Consumer product safety regulation operates in a global and ‘virtual’ market. Online purchasing, limited border protection and distance between suppliers and consumers make monitoring and enforcing product safety more difficult for regulators, putting consumers at risk. A ....Evaluating consumer product regulatory responses to improve child safety. This project aims to quantify the level of similarity between consumer product regulatory practices and child injuries, and compare national approaches. Consumer product safety regulation operates in a global and ‘virtual’ market. Online purchasing, limited border protection and distance between suppliers and consumers make monitoring and enforcing product safety more difficult for regulators, putting consumers at risk. A rapid responsive product safety system that operates across sectors and borders is an international priority. This project expects to close gaps in consumer regulatory practice and safety policy.Read moreRead less