Stochastic analysis and the development and application of financial risk processes. Ensuring the stability of Australia's financial system requires an understanding of the complex financial instruments, strategies and technologies that have evolved in recent years. A strong well-integrated research effort in stochastic analysis with particular application to financial markets is fundamental for measuring and managing risk, to protect and preserve a well functioning system, and to inform policy ....Stochastic analysis and the development and application of financial risk processes. Ensuring the stability of Australia's financial system requires an understanding of the complex financial instruments, strategies and technologies that have evolved in recent years. A strong well-integrated research effort in stochastic analysis with particular application to financial markets is fundamental for measuring and managing risk, to protect and preserve a well functioning system, and to inform policy debate on financial strategies and insurance liabilities.
These challenges are global and require extensive international research collaboration and interaction. The present project will enhance Australia's contributions in this area and facilitate its global impact more than is possible through individual efforts.Read moreRead less
Rare Event Simulation with Heavy Tails. The project provides a rigorous way to enhance our understanding of the mechanisms that bring about catastrophic rare events such as urban flooding, electricity shortages and financial bankrupcy. Australia is at the forefront of exciting recent developments in rare event simulation. The advancement of the knowledge in this area will generate a competitive advantage for various sections of the Australian industry, including the areas of industrial reliabili ....Rare Event Simulation with Heavy Tails. The project provides a rigorous way to enhance our understanding of the mechanisms that bring about catastrophic rare events such as urban flooding, electricity shortages and financial bankrupcy. Australia is at the forefront of exciting recent developments in rare event simulation. The advancement of the knowledge in this area will generate a competitive advantage for various sections of the Australian industry, including the areas of industrial reliability, finance and insurance, were accurate simulation techniques are becoming increasingly important.Read moreRead less
Stein's method for probability approximation. Data of counts in time, such as incoming calls in telecommunications and the clusters of palindromes in a family of herpes-virus genomes, arise in an extraordinarily diverse range of fields from science to business. These problems can be modelled by sums of random variables taking values 0 and 1 in probability theory, thus permitting approximate calculations which are often good enough in practice. This project will obtain such approximate solutions ....Stein's method for probability approximation. Data of counts in time, such as incoming calls in telecommunications and the clusters of palindromes in a family of herpes-virus genomes, arise in an extraordinarily diverse range of fields from science to business. These problems can be modelled by sums of random variables taking values 0 and 1 in probability theory, thus permitting approximate calculations which are often good enough in practice. This project will obtain such approximate solutions and estimate the errors involved. Applications include analysis of data in insurance, finance, flood prediction in hydrology.Read moreRead less
Financial Risk Processes: Stochastic and Statistical Models and their Applications. On the one hand, the misuse of complex financial instruments has contributed to recent major disasters in the Australian financial and insurance industries; on the other hand, great benefits can be obtained by correct use of these kinds of instruments, to share risk between markets and segments of markets. The overall research effort in Australia in these areas is relatively small. This project will target the de ....Financial Risk Processes: Stochastic and Statistical Models and their Applications. On the one hand, the misuse of complex financial instruments has contributed to recent major disasters in the Australian financial and insurance industries; on the other hand, great benefits can be obtained by correct use of these kinds of instruments, to share risk between markets and segments of markets. The overall research effort in Australia in these areas is relatively small. This project will target the development of cutting edge technologies underlying the use of financial derivatives, not presently studied in this country or elsewhere, by bringing together a variety of top level international researchers in an integrated effort to lift the Australian understanding and application of this methodology.Read moreRead less
Stochastic Analysis with a View to Applications in Financial Risk Processes. Recent decades have seen explosive growth in applications of probability theory and statistics to the modelling of risk in finance and insurance. An intensive theoretical investigation into passage time and other problems for Levy and other continuous time processes will be applied to financial risk analyses. Related investigations will involve perpetuities and stochastic volatility models for price series. Outcomes ....Stochastic Analysis with a View to Applications in Financial Risk Processes. Recent decades have seen explosive growth in applications of probability theory and statistics to the modelling of risk in finance and insurance. An intensive theoretical investigation into passage time and other problems for Levy and other continuous time processes will be applied to financial risk analyses. Related investigations will involve perpetuities and stochastic volatility models for price series. Outcomes will include the development of new theory in probability and statistics, the initiation and reinforcement of collaborative ties with major international research figures, and the fostering of contacts with the finance industry.Read moreRead less
The arithmetic of supersingular elliptic curves. The proposed research will have substantial benefits both in the area of pure mathematics, and to the standing of number theory within Australia generally. If successful, the investigators envisage: - fundamental advances in the study of both elliptic curves and modular forms; - key progress in our understanding of the final Millenium Prize Problem in Mathematics; - academic software to compute special values of L-functions; - applications to com ....The arithmetic of supersingular elliptic curves. The proposed research will have substantial benefits both in the area of pure mathematics, and to the standing of number theory within Australia generally. If successful, the investigators envisage: - fundamental advances in the study of both elliptic curves and modular forms; - key progress in our understanding of the final Millenium Prize Problem in Mathematics; - academic software to compute special values of L-functions; - applications to computational mathematics, particularly elliptic curve cryptosystems; - a huge boost to the development of number theory Australia-wide.
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Modelling, Identification and Control of Complex Networks. Australia has been well known for its leading research in systems and control and many real-world applications in, for instance, telecommunications, defence, power grids and life sciences. This project will further promote Australia's leading position in the emerging new research field - complex networks by theoretical breakthrough in modelling, identification and control of complex networks, and cutting-edge platform technology that can ....Modelling, Identification and Control of Complex Networks. Australia has been well known for its leading research in systems and control and many real-world applications in, for instance, telecommunications, defence, power grids and life sciences. This project will further promote Australia's leading position in the emerging new research field - complex networks by theoretical breakthrough in modelling, identification and control of complex networks, and cutting-edge platform technology that can help Australian energy industry to reduce greenhouse emissions. It will also result in education of the next generation research leaders in this emerging field.Read moreRead less
Continued Fractions and Torsion on Hyperelliptic Curves. Scientific advance should not blindly add to our knowledge; a true advance brings insights that collapse different issues into one. Understanding more is to need to remember less. For an important class of examples, this project identifies the study of a fundamental invariant of a quadratic number field, its regulator and hence its class number, with maximum torsion on the Jacobian variety of an hyperelliptic curve. The investigator's meth ....Continued Fractions and Torsion on Hyperelliptic Curves. Scientific advance should not blindly add to our knowledge; a true advance brings insights that collapse different issues into one. Understanding more is to need to remember less. For an important class of examples, this project identifies the study of a fundamental invariant of a quadratic number field, its regulator and hence its class number, with maximum torsion on the Jacobian variety of an hyperelliptic curve. The investigator's methods will surprise some longstanding problems into submission and in particular will lead them to reveal full data on torsion on hyperelliptic curves of low genus.
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Mathematics of Elliptic Curve Cryptography. The Australian society and economy requires fast, reliable, and secure digital infrastructure. First-generation security solutions cannot support the efficiency and scalability requirements of wireless and embedded consumer applications. New security infrastructures are emerging and must be carefully, but rapidly, defined and analysed. Thus developing a new framework in this area is one of the most important and urgent tasks. Besides, the intended wor ....Mathematics of Elliptic Curve Cryptography. The Australian society and economy requires fast, reliable, and secure digital infrastructure. First-generation security solutions cannot support the efficiency and scalability requirements of wireless and embedded consumer applications. New security infrastructures are emerging and must be carefully, but rapidly, defined and analysed. Thus developing a new framework in this area is one of the most important and urgent tasks. Besides, the intended work advances our knowledge of the theory and the quality of our culture. As such, it will promote the Australian science and will also have many practical applications in Computer Security and E-Commerce.Read moreRead less
Boundary Crossing Analysis for Random Processes with Applications to Risk Management. Effective management of environmental, financial and superannuation investment risks is vitally important for Australia. Results of the project will add to the theoretical foundations of risk management and provide new computational tools for specialists working in the areas of financial engineering, insurance, superannuation funds. These tools will assist in improving risk profile evaluation and developing new ....Boundary Crossing Analysis for Random Processes with Applications to Risk Management. Effective management of environmental, financial and superannuation investment risks is vitally important for Australia. Results of the project will add to the theoretical foundations of risk management and provide new computational tools for specialists working in the areas of financial engineering, insurance, superannuation funds. These tools will assist in improving risk profile evaluation and developing new statistical control charts for security monitoring of epidemics, networks intrusions and other potentially dangerous changes. The research will also give Australia a competitive advantage in the area of education related to stochastic processes, mathematical finance, control theory and their applications.Read moreRead less