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
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
Problems of identification and inference for 'non-standard' models in complex systems with special reference to finance and teletraffic. The project is concerned with 'non-standard' models needed to deal with complex systems, such as those exhibiting scaling and fractal properties. There is a focus on methods for dealing with heavy tailed distributions and long range dependent observations, for which most standard statistical methods break down, and on applications in finance and telecommunicati ....Problems of identification and inference for 'non-standard' models in complex systems with special reference to finance and teletraffic. The project is concerned with 'non-standard' models needed to deal with complex systems, such as those exhibiting scaling and fractal properties. There is a focus on methods for dealing with heavy tailed distributions and long range dependent observations, for which most standard statistical methods break down, and on applications in finance and telecommunications. An important part of the project concerns model validation for Heyde's fractal activity time geometric Brownian motion model, a candidate minimal description risky asset model to replace the geometric Brownian motion paradigm.Read moreRead less
Algebraic K-theory and groups. This project will study the K-theory of division algebras, their generalisation to Azumaya algebras and the nonstable K-theory of rings. Expected outcomes would enhance our understanding on the structure of these K groups.
The goal is to settle some of the most significant conjectures in the subject: Bak's solvability of nonstable K groups over rings and the Merkurjev-Suslin conjectures on reduced K theory of division rings.
The study of these problems contribu ....Algebraic K-theory and groups. This project will study the K-theory of division algebras, their generalisation to Azumaya algebras and the nonstable K-theory of rings. Expected outcomes would enhance our understanding on the structure of these K groups.
The goal is to settle some of the most significant conjectures in the subject: Bak's solvability of nonstable K groups over rings and the Merkurjev-Suslin conjectures on reduced K theory of division rings.
The study of these problems contributes to and draws from such topics as group theory, commutative ring theory, algebraic number theory and algebraic geometry.
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Categorical symmetries in representation theory. This project aims to develop categorical symmetries of central objects in mathematics such as braid groups, the Hilbert scheme of points, and the Virasoro algebra. The concept of symmetry is an important organising principle in science. Representation theory is the field of mathematics concerned with studying symmetries. The problems proposed have connections to many different areas including algebra, geometry, topology, and mathematical physics. ....Categorical symmetries in representation theory. This project aims to develop categorical symmetries of central objects in mathematics such as braid groups, the Hilbert scheme of points, and the Virasoro algebra. The concept of symmetry is an important organising principle in science. Representation theory is the field of mathematics concerned with studying symmetries. The problems proposed have connections to many different areas including algebra, geometry, topology, and mathematical physics. This project expects to advance pure mathematics and provide potential benefit in many related fields.Read moreRead less
Low dimensional categories. This project plans to study fundamental examples of higher categories in dimensions 2, 3, and 4, with the goal of understanding their essential features and building appropriate tools and theoretical frameworks for working with them. This work would have applications in several areas of mathematics including representation theory, low dimensional topology and topological quantum computing. Higher categories let us study the possible shapes of space (dimensions 2, 3, a ....Low dimensional categories. This project plans to study fundamental examples of higher categories in dimensions 2, 3, and 4, with the goal of understanding their essential features and building appropriate tools and theoretical frameworks for working with them. This work would have applications in several areas of mathematics including representation theory, low dimensional topology and topological quantum computing. Higher categories let us study the possible shapes of space (dimensions 2, 3, and 4, are the relevant ones for the world we live in), and also the dimensions in which we find the most interesting examples. The project plans to investigate particular examples related to exceptional Lie algebras, fusion categories, and categorical link invariants.Read moreRead less
Topics in triangulated categories. This project in pure mathematics, more specifically in modern homological algebra, builds on work started by the chief investigator in the last five years. What has already been done has achieved striking results, solving very different problems that have been open for two decades. And there seem to be many directions in which it could be pursued further.
The international mathematical community seems intrigued by what the chief investigator has achieved recen ....Topics in triangulated categories. This project in pure mathematics, more specifically in modern homological algebra, builds on work started by the chief investigator in the last five years. What has already been done has achieved striking results, solving very different problems that have been open for two decades. And there seem to be many directions in which it could be pursued further.
The international mathematical community seems intrigued by what the chief investigator has achieved recently - judging by invitations to give prestigious talks and the feedback at these events. The expected outcome is major progress in our understanding of derived categories, as well as diverse applications. The benefit will be to enhance the international stature of Australian science.Read moreRead less
Moduli, invariants, and algebraisation. This project is in pure mathematics. It aims to address gaps in our
knowledge in the modern geometries and their associated algebraic structures that arise in classification problems that pervade mathematics and its applications.
This project expects to generate new knowledge in modern algebra and geometry.
Expected outcomes of this project include major progress in our
understanding of invariants of derived categories of algebraic stacks and the
relat ....Moduli, invariants, and algebraisation. This project is in pure mathematics. It aims to address gaps in our
knowledge in the modern geometries and their associated algebraic structures that arise in classification problems that pervade mathematics and its applications.
This project expects to generate new knowledge in modern algebra and geometry.
Expected outcomes of this project include major progress in our
understanding of invariants of derived categories of algebraic stacks and the
relationship between algebraic and other geometries.
The benefit will be to enhance the international stature of Australian science.Read moreRead less
Banking System Competition and the Macro-economy. Australia has one of the most concentrated banking sectors in the world, generating concerns regarding its efficiency. This project aims to develop unified frameworks to understand and evaluate quantitatively how the structure of the banking industry affects the macro-economy and provide policy recommendations for establishing a healthy and efficient banking industry. This project expects to improve understanding of the welfare trade-off between ....Banking System Competition and the Macro-economy. Australia has one of the most concentrated banking sectors in the world, generating concerns regarding its efficiency. This project aims to develop unified frameworks to understand and evaluate quantitatively how the structure of the banking industry affects the macro-economy and provide policy recommendations for establishing a healthy and efficient banking industry. This project expects to improve understanding of the welfare trade-off between bank competition and economic well-being to enable policymakers to better determine the optimal concentration of banking sector in Australia. This will enhance the productivity and international competitiveness of Australia’s financial system and the broader economy.Read moreRead less