A New Approach to Managing Risk in Financial Markets

Project Member(s): Platen, E., Novikov, A., Schlogl, E.

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

Acknowledgement of Country

UTS acknowledges the Gadigal people of the Eora Nation, the Boorooberongal people of the Dharug Nation, the Bidiagal people and the Gamaygal people, upon whose ancestral lands our university stands. We would also like to pay respect to the Elders both past and present, acknowledging them as the traditional custodians of knowledge for these lands.