UTS RESEARCH IN QUANTITATIVE FINANCE 20 JULY 2016 uts.edu.au UTS CRICOS PROVIDER CODE: 00099F
QUANTITATIVE FINANCE… …solves problems in financial valuation and risk management using advanced techniques from the fields of • mathematics • statistics and • computing This is far broader than just options and other derivative financial instruments. uts.edu.au
QUANTITATIVE FINANCE & RISK MANAGEMENT It has become a whole new world since the Global Financial Crisis: Difficult, exotic problems of the pre-2007 days are no longer interesting… …but simple issues for which there used to be textbook solutions now raise complicated questions. uts.edu.au
QUANTITATIVE FINANCE: NEW PROBLEMS Consider, for example: • Counterparty credit risk • The single-currency and cross-currency basis spreads in swaps and forwards • Model risk – in model assumptions, model parameters and model calibration uts.edu.au
QUANTITATIVE FINANCE AT UTS Largest concentration of internationally recognised expertise in Quantitative Finance in Australia Individual researchers have strong track records of industry engagement, including in model • Development & Selection • Implementation • Calibration • Validation uts.edu.au
BROAD SPECTRUM OF QUANT FINANCE RESEARCH Research Streams Asset/Liability Market Dynamics Structured products New risks and new Mathematical, Management for and quantitative markets statistical and • Financial market modelling Superannuation, investment strategies computational • Agent-based modelling • Electricity markets Pensions and techniques • Asset pricing with • Emissions trading • Portfolio diversification and heterogeneous beliefs, learning Insurance optimisation • Liquidity risk modelling • Numerical and simulation and social interactions • Optimal stochastic control • Quantifying model risk methods • Heterogeneous expectations • Pricing and hedging of • Long-term investment modelling • Optimisation and empirical testing derivative financial instruments • Financial econometrics • Equity-linked life insurance • Profitability, return predictability, • Financial modelling of annuities • Machine learning and market sentiment • Valuation and risk-management • Parallel computing • High frequency trading and of minimum return guarantees learning in limit order markets uts.edu.au
PERSONNEL Large team covering broad areas of expertise across two Faculties: • 6 senior researchers/team leaders • 9 mid-career researchers as core members • Numerous PhD students uts.edu.au
SOME MODES OF ENGAGEMENT ARC Linkage Projects Contract research Industry Doctoral Training Centre PhD student internship placements (AMSI scheme) Consulting uts.edu.au
CONTACTS Professor Erik Schlögl Erik.Schlogl@uts.edu.au Research Team Leaders • Prof. Xuezhong (Tony) He (UTS Business School) – Tony.He1@uts.edu.au • A/Prof. Juri Hinz (Faculty of Science) – Juri.Hinz@uts.edu.au • Prof. Alex Novikov (Faculty of Science) – Alex.Novikov@uts.edu.au • Prof. Eckhard Platen (Faculty of Science/UTS Business School) – Eckhard.Platen@uts.edu.au uts.edu.au
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