Linkage Projects - Grant ID: LP0562616

Funding Activity

Website
http://dataportal.arc.gov.au/NCGP/Web/Grant/Grant/LP0562616

Funding Status
Closed

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Funded Activity Summary

Implied distributions and implied asset dynamics: Calibration and visualisation of models on market data. Global money markets represent a very complex interlinked system. Market prices of derivative financial instruments bear information about this system, information that is critical for the effective management of interest rate and currency risks in a global context. The project will develop and test methods to extract this information. It will provide an interactive environment to explore (numerically and visually) sensitivities of asset dynamics and derivatives prices to input data and modelling assumptions, thus permitting a detailed analysis of market and model risk.

Funded Activity Details

Start Date: 30-11-2005

End Date: 30-06-2009

Funding Scheme: Linkage Projects

Funding Amount: $308,296.00

Funder: Australian Research Council

Research Topics

ANZSRC Field of Research (FoR)

Finance | Banking, Finance and Investment

ANZSRC Socio-Economic Objective (SEO)

Finance and investment services |

Other Keywords

Banking, Finance and Investment | Finance | Finance and investment services

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