New Stochastic Processes with Applications in Finance. This project investigates the properties and the use of two new families of models with applications in Finance, and beyond. It will contribute to the development of fundamental research in mathematics and its applications. The project will produce more realistic financial models that will benefit researchers in this field. This will in turn have a flow on effect to benefit the wider community. The project will provide for postgraduate train ....New Stochastic Processes with Applications in Finance. This project investigates the properties and the use of two new families of models with applications in Finance, and beyond. It will contribute to the development of fundamental research in mathematics and its applications. The project will produce more realistic financial models that will benefit researchers in this field. This will in turn have a flow on effect to benefit the wider community. The project will provide for postgraduate training and international scientific exchange. Overall, the project will strengthen Australia's standing at the forefront of fundamental and applied research.Read moreRead less
Boundary Crossing Analysis for Random Processes with Applications to Risk Management. Effective management of environmental, financial and superannuation investment risks is vitally important for Australia. Results of the project will add to the theoretical foundations of risk management and provide new computational tools for specialists working in the areas of financial engineering, insurance, superannuation funds. These tools will assist in improving risk profile evaluation and developing new ....Boundary Crossing Analysis for Random Processes with Applications to Risk Management. Effective management of environmental, financial and superannuation investment risks is vitally important for Australia. Results of the project will add to the theoretical foundations of risk management and provide new computational tools for specialists working in the areas of financial engineering, insurance, superannuation funds. These tools will assist in improving risk profile evaluation and developing new statistical control charts for security monitoring of epidemics, networks intrusions and other potentially dangerous changes. The research will also give Australia a competitive advantage in the area of education related to stochastic processes, mathematical finance, control theory and their applications.Read moreRead less
Modelling with stochastic differential equations. We will develop methodology for modelling and analysis of phenomena subjected to random and uncertain influences, such as behaviour of investors in the market, evolution of economy, values of stocks and ant colonies. This methodology will enable scientists to achieve more accurate description and analysis of their models and provide better understanding of these phenomena. Creating the tools for understanding such complex systems will have far re ....Modelling with stochastic differential equations. We will develop methodology for modelling and analysis of phenomena subjected to random and uncertain influences, such as behaviour of investors in the market, evolution of economy, values of stocks and ant colonies. This methodology will enable scientists to achieve more accurate description and analysis of their models and provide better understanding of these phenomena. Creating the tools for understanding such complex systems will have far reaching benefits both nationally and internationally and will allow Australia to strengthen its position in international research. The project will also provide for postgraduate training and international scientific exchange.Read moreRead less
Stochastic systems with applications to Biology and Finance. This project is concerned with stochastic systems. These mathematical systems, which are controlled by statistical uncertainty and variability, have profound importance in the fields of biology and finance. They are recognised worldwide as being of primary scientific importance. Important questions to be examined are: 1) Branching processes in DNA Polymerase Chain Reaction, 2) long term stationarity in metastable systems, and 3) Sto ....Stochastic systems with applications to Biology and Finance. This project is concerned with stochastic systems. These mathematical systems, which are controlled by statistical uncertainty and variability, have profound importance in the fields of biology and finance. They are recognised worldwide as being of primary scientific importance. Important questions to be examined are: 1) Branching processes in DNA Polymerase Chain Reaction, 2) long term stationarity in metastable systems, and 3) Stochastic Volatility in Finance. The answers to these questions will underpin the statistical theory for potential breakthroughs in the respective areas. This project will contribute to the theory and applications of Stochastic Processes, as well as modelling in biology and finance.Read moreRead less
Models for Australian Electricity Derivatives. Electricity derivatives, such as electricity futures and options are used to manage the risk associated with volatility in prices of electricity. This project aims to develop models for pricing electricity derivatives specifically suited for Australia. Because of the non-storable nature of electricity the standard option pricing principle of "no-arbitrage" does not apply to electricity options, such as caps and floors, but applies to options on elec ....Models for Australian Electricity Derivatives. Electricity derivatives, such as electricity futures and options are used to manage the risk associated with volatility in prices of electricity. This project aims to develop models for pricing electricity derivatives specifically suited for Australia. Because of the non-storable nature of electricity the standard option pricing principle of "no-arbitrage" does not apply to electricity options, such as caps and floors, but applies to options on electricity futures. Therefore a specific model is needed that takes into account the pricing principle of "no-arbitrage" and combines it with other factors that drive electricity prices. The novel element in this proposal is incorporation of the weather forecasts into the models for electricity options. As a result of this study appropriate models for electricity derivatives for various geographical regions in Australia will be developed.Read moreRead less
Control of Markov jumping processes with constraints. The project outcomes will constitute the set of tools for modelling and optimisation of complex stochastic systems and will lead to new and more precise characterisations of optimal behaviour of complex controllable systems arising in Resource Management, Engineering and Telecommunications. Therefore, the project fits to the research priority areas Breakthrough Science and Frontier Technologies in the topic of mathematical modelling and optim ....Control of Markov jumping processes with constraints. The project outcomes will constitute the set of tools for modelling and optimisation of complex stochastic systems and will lead to new and more precise characterisations of optimal behaviour of complex controllable systems arising in Resource Management, Engineering and Telecommunications. Therefore, the project fits to the research priority areas Breakthrough Science and Frontier Technologies in the topic of mathematical modelling and optimisation of Complex Systems.Read moreRead less
Non-invasive assessment of hip fracture risk in elderly people. No falls, no fractures - this will be the main benefit of the proposed research. The most significant outcome will be new computational tools to improve current understanding of the biomechanics of falls and bone fragility in elderly people, which, in turn, will help to reduce healthcare costs associated with the treatment and management of hip fractures. Realistic models and computer simulations of human movement can play a pivota ....Non-invasive assessment of hip fracture risk in elderly people. No falls, no fractures - this will be the main benefit of the proposed research. The most significant outcome will be new computational tools to improve current understanding of the biomechanics of falls and bone fragility in elderly people, which, in turn, will help to reduce healthcare costs associated with the treatment and management of hip fractures. Realistic models and computer simulations of human movement can play a pivotal role in three of Australia's largest industries: healthcare, through the diagnosis and treatment of movement disorders; sports, through the development of personalized training programs for elite athletes; and entertainment, through the development of video/digital games and animated films.Read moreRead less
A Control Systems Approach for Understanding Human Locomotion. This proposal addresses fundamental, difficult questions in the context of human movement: How do muscles move our limbs during walking? How do the nervous system and muscles work together to control movement? Realistic computer simulations of human movement can help answer these questions and, in so doing, can play a pivotal role in three of Australia's largest industries: healthcare, through clinical gait analysis and gait rehabili ....A Control Systems Approach for Understanding Human Locomotion. This proposal addresses fundamental, difficult questions in the context of human movement: How do muscles move our limbs during walking? How do the nervous system and muscles work together to control movement? Realistic computer simulations of human movement can help answer these questions and, in so doing, can play a pivotal role in three of Australia's largest industries: healthcare, through clinical gait analysis and gait rehabilitation (diagnosis and treatment of movement disorders); sports, through the development of personalized training programs for elite athletes; and entertainment, through the development of video/digital games and animated films (creation of virtual life-like actors).Read moreRead less
Patient-specific computational tools for evaluating functional performance of total knee replacements in vivo. Knee replacement surgery is the established treatment for end-stage osteoarthritis. This proposal addresses one of the most fundamental questions related to knee replacement surgery: Why do total knee replacements fail? High-fidelity, patient-specific computer simulations of walking can help to answer this question and, in so doing, can improve the functional performance and longevity o ....Patient-specific computational tools for evaluating functional performance of total knee replacements in vivo. Knee replacement surgery is the established treatment for end-stage osteoarthritis. This proposal addresses one of the most fundamental questions related to knee replacement surgery: Why do total knee replacements fail? High-fidelity, patient-specific computer simulations of walking can help to answer this question and, in so doing, can improve the functional performance and longevity of current knee implant designs. Realistic computer simulations of human movement also can play a pivotal role in healthcare through patient rehabilitation; in sports, through the development of personalized training programs for elite athletes; and in entertainment, through the creation of video games and animated films.Read moreRead less
Complexity in Algebra and Algebra in Complexity: the role of finite semigroups and general algebra. Algebra and logic form the mathematical framework for expressing and analysing algorithms and their difficulty. We can then scientifically analyse what makes some tasks more difficult than others. This project unifies parallel areas of algebra to focus on two key topics at this interface between algebra and computational complexity. As a flow on, our work can uncover new algorithms for solving ....Complexity in Algebra and Algebra in Complexity: the role of finite semigroups and general algebra. Algebra and logic form the mathematical framework for expressing and analysing algorithms and their difficulty. We can then scientifically analyse what makes some tasks more difficult than others. This project unifies parallel areas of algebra to focus on two key topics at this interface between algebra and computational complexity. As a flow on, our work can uncover new algorithms for solving constraint problems and for the study of formal languages.
With a team of top international researchers developing new interactions between mathematics and the study of algorithms, the project will foster a culture of innovation and bring Australia into the play in this internationally competitive area.Read moreRead less