A New Approach to Managing Risk in Financial Markets
Start year: 2004
Summary: The project will give Australian industry a new generation of financial technology that provides an internationally competitive advantage in the management of risk, relevant for superannuation funds, banks, corporations and regulators. Recent spectacular corporate crashes have highlighted the need for an integrated and transparent risk management technology. This project proposes such research, focussing on the development, implementation and testing of efficient and robust quantitative methods for derivative pricing, hedging and calibration. An innovative economically founded measure for calibration and model comparison will be constructed. It will guide the development and identification of new, realistic model classes and corresponding quantitative methods. ''
Keywords: Risk management Stochastic differential equations Incomplete markets Valuation Hedging Calibration
FOR Codes: Finance, Stochastic Analysis and Modelling, Finance and investment services