The econometrics of gravity models of trade: a re-assessment. This research will lead a much greater understanding of the empirical determinants of trade flows between countries. This project will apply cutting-edge data econometric techniques to the popular Gravity model of international trade flows. These more appropriate techniques will shed more light on some previous puzzling findings, such that regional trade agreements had little, or no, affect on trade.
Improving risk management based on short-term stochastic forecast for financial decisions. The project targets the problems of strategy selection in the framework of mathematical finance. The aim is to find ways to reduce the impact of forecast errors in the presence of uncertainty. Related forecasting algorithms and solutions of optimization problems will be obtained.
New methods for modelling and forecasting risk. The project will develop and assess risk measures and risk forecasting. It will assess why customary measures failed in the financial crisis and develop new and better techniques. The project is unique in terms of the scope and range of methods to be applied and tested. It will be of value to investors, institutions and regulators alike.