Linkage Projects - Grant ID: LP0882947

Funding Activity

Website
http://dataportal.arc.gov.au/NCGP/Web/Grant/Grant/LP0882947

Funding Status
Closed

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Funded Activity Summary

Developing a robust model for pricing inter-related volatility-based financial derivative contracts. Volatility-based financial contracts were developed in the late 1990s to provide an easy way for investors to gain exposure to the future level of volatility and thus provide a means by which they could speculate on its future levels and also hedge unpredictable volatility risk. This would potentially save them from losing vast quantities of money. However these products can only be efficient products for trading and risk management if they are priced correctly. This project will benefit investors by providing empirically viable models that will be able to be easily implemented to provide accurate and fast pricing solutions.

Funded Activity Details

Start Date: 01-01-2008

End Date: 31-12-2012

Funding Scheme: Linkage Projects

Funding Amount: $105,000.00

Funder: Australian Research Council

Research Topics

ANZSRC Field of Research (FoR)

Stochastic Analysis And Modelling | Finance | Banking, Finance and Investment | Numerical Analysis

ANZSRC Socio-Economic Objective (SEO)

Finance and investment services |

Other Keywords

Banking, Finance and Investment | Finance | Finance and investment services | Numerical Analysis | Stochastic Analysis And Modelling

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