A new theoretical approach to pension fund economics, asset management and insurance. A new generation of sustainable pensions will be proposed, which can, in the long term, increase several times the level of pension payouts. The groundbreaking underlying theoretical approach suggests a paradigm shift and dramatic improvements in the performance of pensions and other long dated contracts in asset management and insurance.
Novel econometric techniques for dealing with point processes in high frequency financial data with applications to financial risk management. The recent global financial crisis highlighted the inherent risk involved in investing in financial assets. This project aims to develop novel statistical methods for forecasting the onset of instability in asset prices. The outcomes of this research will lead to improvements in the management of financial risk.
Understanding the Impact of Sovereign Wealth Funds on the Financial Markets. This project aims not only to reveal the impact of sovereign wealth fund (SWFs) on Australian international stock markets, but also to assess their investment behaviour. An SWF is an investment fund managed by a government or other organisation on behalf of a sovereign state. The impact of SWFs on international financial markets and their behaviour are of great importance to market participants as well as policy-makers. ....Understanding the Impact of Sovereign Wealth Funds on the Financial Markets. This project aims not only to reveal the impact of sovereign wealth fund (SWFs) on Australian international stock markets, but also to assess their investment behaviour. An SWF is an investment fund managed by a government or other organisation on behalf of a sovereign state. The impact of SWFs on international financial markets and their behaviour are of great importance to market participants as well as policy-makers. The project aims to measure the systemic risk contribution of SWFs and to analyse the anti-takeover provisions of SWFs’ target firms. In addition, the project aims to understand the relation between anti-takeover provisions and target firm value and will examine the role of SWFs as a socially responsible investor. The expected outcomes will improve our understanding of the impact of SWFs on the Australian financial markets in terms of social and economic wellbeing.Read moreRead less
Mathematical models for water management systems. The Australian community is currently talking about schemes to return water to the Murray-Darling river system to combat increased salinity and dramatically reduced river flow. Many believe that vastly improved water management policies are essential to maintain agricultural well-being in Australia. Salinity and water quality depend directly on flow rates and are also important in smaller catchments. In this study we will use statistical rainf ....Mathematical models for water management systems. The Australian community is currently talking about schemes to return water to the Murray-Darling river system to combat increased salinity and dramatically reduced river flow. Many believe that vastly improved water management policies are essential to maintain agricultural well-being in Australia. Salinity and water quality depend directly on flow rates and are also important in smaller catchments. In this study we will use statistical rainfall models and stochastic dynamic programming to find practical water management policies that minimise the risk to water supply. We will develop an interactive simulation and management tool using a modern computer graphics package.Read moreRead less
Financial tunnelling: shareholder protection and wealth changes during two decades of capital management activities in Australia. Companies raise capital and distribute capital and profits through various mechanisms, often structured to benefit important shareholders such as institutions. This study examines the extent to which minority shareholders have had wealth destroyed through company capital management activities, and offers corporate governance solutions.
Financial Risk Processes: Stochastic and Statistical Models and their Applications. On the one hand, the misuse of complex financial instruments has contributed to recent major disasters in the Australian financial and insurance industries; on the other hand, great benefits can be obtained by correct use of these kinds of instruments, to share risk between markets and segments of markets. The overall research effort in Australia in these areas is relatively small. This project will target the de ....Financial Risk Processes: Stochastic and Statistical Models and their Applications. On the one hand, the misuse of complex financial instruments has contributed to recent major disasters in the Australian financial and insurance industries; on the other hand, great benefits can be obtained by correct use of these kinds of instruments, to share risk between markets and segments of markets. The overall research effort in Australia in these areas is relatively small. This project will target the development of cutting edge technologies underlying the use of financial derivatives, not presently studied in this country or elsewhere, by bringing together a variety of top level international researchers in an integrated effort to lift the Australian understanding and application of this methodology.Read moreRead less
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
Do wealth creating mergers and acquisitions really hurt acquirer shareholders? The purpose of this project is to investigate the benefit to the community of acquisitions, especially when the stock price of the acquirer falls on the announcement. This project is likely to show that acquiring shareholders still gain substantially in these circumstances. The outcome will be fewer failed bids with better regulatory outcomes.
Stochastic Analysis with a View to Applications in Financial Risk Processes. Recent decades have seen explosive growth in applications of probability theory and statistics to the modelling of risk in finance and insurance. An intensive theoretical investigation into passage time and other problems for Levy and other continuous time processes will be applied to financial risk analyses. Related investigations will involve perpetuities and stochastic volatility models for price series. Outcomes ....Stochastic Analysis with a View to Applications in Financial Risk Processes. Recent decades have seen explosive growth in applications of probability theory and statistics to the modelling of risk in finance and insurance. An intensive theoretical investigation into passage time and other problems for Levy and other continuous time processes will be applied to financial risk analyses. Related investigations will involve perpetuities and stochastic volatility models for price series. Outcomes will include the development of new theory in probability and statistics, the initiation and reinforcement of collaborative ties with major international research figures, and the fostering of contacts with the finance industry.Read moreRead less
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