Two-price quantitative finance. This project aims to establish a novel field, namely two-price quantitative finance, and explore its applications. The new field will integrate two major schools for modelling and explain the presence of two prices, the buying and selling prices, widely observed in the real-world markets, and the equilibrium approach from the fundamental law of one price. The outcomes would deepen our understanding of the fundamental relationship among liquidity, prices, risk and ....Two-price quantitative finance. This project aims to establish a novel field, namely two-price quantitative finance, and explore its applications. The new field will integrate two major schools for modelling and explain the presence of two prices, the buying and selling prices, widely observed in the real-world markets, and the equilibrium approach from the fundamental law of one price. The outcomes would deepen our understanding of the fundamental relationship among liquidity, prices, risk and the economy. This project expects to bring about long-term impact on quantitative finance and related applications through providing a deep understanding of, and a new perspective for, the design, risk and fairness of the finance, property and insurance markets.Read moreRead less
Shining the light on geometry of microstructured optical fibres. A fast, powerful computer code using new mathematical models and techniques will be produced and experimentally validated, for use in development of novel microstructured optical fibres for telecommunications and other applications. This code will reduce the time-consuming and expensive experimental iteration needed for development of these fibres.
G-expectation and its applications to nonlinear risk management. This project will develop novel theories and methods for nonlinear risk management based on nonlinear expectations and Backward Stochastic Differential Equations. The expected outcomes of the project will place Australia in the forefront and the leading position of these fields.
Mathematics the key to modern glass and polymer fibre technology. This project aims to develop fully coupled flow and energy models to determine the preform structure and fibre-drawing parameters needed to fabricate a desired microstructured optical fibre by stretching of the preform to a fibre. It will focus on polymer to develop a non-Newtonian flow model, which can handle the subset of Newtonian glass fibre drawing. It will develop fast, powerful three-dimensional predictive tools to solve th ....Mathematics the key to modern glass and polymer fibre technology. This project aims to develop fully coupled flow and energy models to determine the preform structure and fibre-drawing parameters needed to fabricate a desired microstructured optical fibre by stretching of the preform to a fibre. It will focus on polymer to develop a non-Newtonian flow model, which can handle the subset of Newtonian glass fibre drawing. It will develop fast, powerful three-dimensional predictive tools to solve the models and experimentally validate solutions. This work will direct future design of microstructured optical fibres to empower next-generation optical-fibre technologies. Expected outcomes are fibre designs for telecommunications, medicine, biotechnology, sensing and imaging.Read moreRead less