Discovery Projects - Grant ID: DP160104737

Funding Activity

Website
http://dataportal.arc.gov.au/NCGP/Web/Grant/Grant/DP160104737

Funding Status
Closed

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Funded Activity Summary

Frontiers of Risk Modelling: Dependence and Extremes of Levy Processes. This project plans to continue an ongoing theoretical study into continuous-time stochastic processes, concentrating on developing tools for the further analysis and understanding of extremal and multivariate phenomena with applications to portfolio analysis, value-at risk calculations and complex financial instruments, with particular emphasis on practical applications of the methodologies in the insurance and finance industries. Expected outcomes would be of direct interest to these industries as well as having significant mathematical interest.

Funded Activity Details

Start Date: 20-06-2016

End Date: 31-12-2019

Funding Scheme: Discovery Projects

Funding Amount: $228,703.00

Funder: Australian Research Council

Research Topics

ANZSRC Field of Research (FoR)

Financial Mathematics | Probability Theory | Stochastic Analysis and Modelling | Statistics |

ANZSRC Socio-Economic Objective (SEO)

Expanding Knowledge in Economics | Finance Services | Expanding Knowledge in the Mathematical Sciences

Other Keywords

Expanding Knowledge in Economics | Expanding Knowledge in the Mathematical Sciences | Finance Services | Financial Mathematics | Probability Theory | Statistics | Stochastic Analysis and Modelling

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