New Stochastic Processes with Applications in Finance

新随机过程及其在金融中的应用

• 批准号: DP0988483
• 负责人: Prof Fima Klebaner
• 金额: $ 16.64万
• 依托单位: Monash University
• 依托单位国家: 澳大利亚
• 项目类别: Discovery Projects
• 财政年份: 2009
• 资助国家: 澳大利亚
• 起止时间: 2009-07-31 至 2013-12-31
• 项目状态: 已结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/DP0988483
• 关键词: New; Stochastic; Processes; Applications; Finance

This project investigates the properties and the use of two new families of models with applications in Finance, and beyond. It will contribute to the development of fundamental research in mathematics and its applications. The project will produce more realistic financial models that will benefit researchers in this field. This will in turn have a flow on effect to benefit the wider community. The project will provide for postgraduate training and international scientific exchange. Overall, the project will strengthen Australia's standing at the forefront of fundamental and applied research.

该项目研究了两个新的模型家族的属性和使用，并在金融及其他领域应用。它将有助于数学基础研究及其应用的发展。该项目将产生更现实的金融模型，这将有利于该领域的研究人员。这反过来又会产生流动效应，使更广泛的社区受益。该项目将提供研究生培训和国际科学交流。总体而言，该项目将加强澳大利亚在基础和应用研究方面的前沿地位。