Linkage Grant with Macquarie Bank
Published on the 26 Jul 2006
A group in the UNSW School of Mathematics and Statistics led by Professor Ian Sloan has won an ARC Linkage grant to collaborate with Macquarie Bank's Quantitative Applications Division on the use of quasi-montecarlo and similar methods in pricing complex financial instruments. Details are:
LP0669678 Prof IH Sloan (UNSW); Dr AJ Green (Macquarie Bank)
Novel Mathematical Technologies for Financial Valuation and Risk
2006 : $37,500
2007 : $75,000
2008 : $73,500
2009 : $36,000
Project Summary: The finance industry is a key industry sector in Australia, with a highly qualified and well-paid work force. The profitability and stability of financial institutions rests in part on their ability to accurately and rapidly value innovative financial products and to quantify risk, yet many contemporary financial products are difficult to value quickly and accurately. This project will bring innovative mathematical technologies to bear on complex financial problems. It has the potential to improve both the profitability and stability of Australian financial institutions, and to enhance their role regionally and internationally.