Weather, climate & geological risks: derivative pricing & risk management

天气、气候

• 批准号: DP230101458
• 负责人: Dr Mariano Rodrigo
• 金额: $ 27.69万
• 依托单位: University of Wollongong
• 依托单位国家: 澳大利亚
• 项目类别: Discovery Projects
• 财政年份: 2023
• 资助国家: 澳大利亚
• 起止时间: 2023-01-01 至 2025-12-31
• 项目状态: 未结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/DP230101458
• 关键词: Weather; climate; geological; risks; derivative

This project aims to create new mathematical models and approaches for the fair valuation and hedging of financial derivatives, tackling funding for climate change adaptation and catastrophic disaster risk management. Businesses use derivatives to strategically mitigate financial losses from adverse climate conditions and geological hazards. Expected outcomes are improved models for weather variables and hazard risk assessment; richer methodology from the fusion of mathematical techniques, data analysis and earth sciences perspectives; and quantitative solutions to pressing societal concerns. Significant benefits also include highly qualified personnel training and international collaboration on common multidisciplinary research priorities.

该项目旨在创建新的数学模型和方法，用于金融衍生品的公平估值和对冲，解决适应气候变化和灾难性灾害风险管理的资金问题。企业利用衍生工具从战略上减轻不利气候条件和地质灾害造成的财务损失。预期成果是改进天气变量和灾害风险评估模型;融合数学技术、数据分析和地球科学观点的更丰富的方法;以及解决紧迫社会问题的定量解决方案。显著的好处还包括高素质的人员培训和共同的多学科研究优先事项的国际合作。