A new theoretical approach to pension fund economics, asset management and insurance. A new generation of sustainable pensions will be proposed, which can, in the long term, increase several times the level of pension payouts. The groundbreaking underlying theoretical approach suggests a paradigm shift and dramatic improvements in the performance of pensions and other long dated contracts in asset management and insurance.
Do wealth creating mergers and acquisitions really hurt acquirer shareholders? The purpose of this project is to investigate the benefit to the community of acquisitions, especially when the stock price of the acquirer falls on the announcement. This project is likely to show that acquiring shareholders still gain substantially in these circumstances. The outcome will be fewer failed bids with better regulatory outcomes.
The effect of bans on short selling: a comprehensive study. Although the 2008 financial crisis has greatly impeded the global economy, it has provided a rare opportunity for researchers to verify the truthfulness of some assumptions made on financial markets that are running without liquidity problems. This project will develop a new option pricing theory suitable for financial markets under some short-selling restrictions. Through exploring, from both empirical and theoretical points of view, h ....The effect of bans on short selling: a comprehensive study. Although the 2008 financial crisis has greatly impeded the global economy, it has provided a rare opportunity for researchers to verify the truthfulness of some assumptions made on financial markets that are running without liquidity problems. This project will develop a new option pricing theory suitable for financial markets under some short-selling restrictions. Through exploring, from both empirical and theoretical points of view, how short-selling bans will affect some important assumptions made in conventional option pricing theory, the newly developed option pricing framework should not only assist in trading options, but also assist market regulators to effectively use bans on short selling to stabilise financial markets.Read moreRead less
Liquidity in financial markets. This project aims to develop a theory which models the effect of liquidity on option prices under different market conditions. Economic or financial crises are inevitable and affect economics. During or after a major financial crisis, market liquidity usually becomes risky and needs to be studied. Through both empirical and theoretical explorations, this project will quantify and measure liquidity risk and its effect on the options markets. It will develop a frame ....Liquidity in financial markets. This project aims to develop a theory which models the effect of liquidity on option prices under different market conditions. Economic or financial crises are inevitable and affect economics. During or after a major financial crisis, market liquidity usually becomes risky and needs to be studied. Through both empirical and theoretical explorations, this project will quantify and measure liquidity risk and its effect on the options markets. It will develop a framework to help market regulators manage illiquidity, enhance the efficiency of option trading in illiquid markets and help in the detection of market manipulation.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
Retirement income product innovation. This project aims to develop and assess comprehensive retirement income products to support sustainable retirement income streams for the Australian superannuation system. It will provide a framework to develop flexible structured retirement income products, taking into account the fair and effective allocation of costs and risks. Actuarial and financial analysis will highlight savings in Age Pension and aged care costs arising from more effective design of ....Retirement income product innovation. This project aims to develop and assess comprehensive retirement income products to support sustainable retirement income streams for the Australian superannuation system. It will provide a framework to develop flexible structured retirement income products, taking into account the fair and effective allocation of costs and risks. Actuarial and financial analysis will highlight savings in Age Pension and aged care costs arising from more effective design of retirement income products incorporating investment and longevity risk. It intends to develop risk sharing retirement products, risk management strategies, and longevity index-based hedging contracts to share and mitigate financial and longevity risk.Read moreRead less
Endgame: managing superannuation in later life. This project aims to come up with strategies for improving superannuation advice for the elderly - including retirees, and also those on the cusp of retirement, who often have little or no scope for working harder or longer to restore their finances. It applies recent developments in financial economics to improve the quality of financial planning advice.
New valuation and parallel simulation methods for finance and insurance. Many Australians have superannuation savings and hold life insurance contracts. Hence, the price and risk of these investments is of particular importance to the welfare of Australia. The proposed research will improve the financial security of Australians by demonstrating that many long term insurance and superannuation products require far less capital than currently suggested. This project will provide path breaking fron ....New valuation and parallel simulation methods for finance and insurance. Many Australians have superannuation savings and hold life insurance contracts. Hence, the price and risk of these investments is of particular importance to the welfare of Australia. The proposed research will improve the financial security of Australians by demonstrating that many long term insurance and superannuation products require far less capital than currently suggested. This project will provide path breaking frontier technology for enhancing the performance of superannuation funds, insurance companies and banks, giving these Australian institutions a competitive advantage. An additional outcome will be global growth for sectors of Australia's IT industry, developing related software and tailored hardware.
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Pricing and Hedging Extreme Maturity Contracts. Most Australians belong to superannuation schemes. Hence, the long term performance and risk of these investments is of particular importance to the welfare of Australia. This research will improve the life-long financial security of Australians by clearly demonstrating that many superannuation targets can be achieved with less capital than currently suggested. This project will provide new technology for enhancing the long term performance of sup ....Pricing and Hedging Extreme Maturity Contracts. Most Australians belong to superannuation schemes. Hence, the long term performance and risk of these investments is of particular importance to the welfare of Australia. This research will improve the life-long financial security of Australians by clearly demonstrating that many superannuation targets can be achieved with less capital than currently suggested. This project will provide new technology for enhancing the long term performance of superannuation funds, managed funds, investment banks and insurance companies, giving these Australian institutions a competitive advantage and permitting them to offer innovative financial products to mitigate extreme maturity financial risk in retirement.Read moreRead less
Risk assessment of climate change mitigation measures. This project will consider market based mechanisms for environmental protection policies and will have both a theoretical and a practical dimension. The main benefactors of the project will be environmental regulators and policy makers working in this area.