Discovery Projects - Grant ID: DP140102076

Funding Activity

Website
http://dataportal.arc.gov.au/NCGP/Web/Grant/Grant/DP140102076

Funding Status
Closed

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Funded Activity Summary

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.

Funded Activity Details

Start Date: 31-03-2014

End Date: 15-12-2018

Funding Scheme: Discovery Projects

Funding Amount: $400,000.00

Funder: Australian Research Council

Research Topics

ANZSRC Field of Research (FoR)

Financial Mathematics | Applied Mathematics | Investment and Risk Management |

ANZSRC Socio-Economic Objective (SEO)

Finance Services | Expanding Knowledge in the Mathematical Sciences

Other Keywords

Applied Mathematics | Expanding Knowledge in the Mathematical Sciences | Finance Services | Financial Mathematics | Investment and Risk Management

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