UTS RESEARCH IN QUANTITATIVE FINANCE 20 JULY 2016 uts.edu.au UTS - - PowerPoint PPT Presentation

UTS CRICOS PROVIDER CODE: 00099F

UTS RESEARCH IN QUANTITATIVE FINANCE

20 JULY 2016

uts.edu.au

QUANTITATIVE FINANCE…

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…solves problems in financial valuation and risk management using advanced techniques from the fields

• f
• mathematics
• statistics and
• computing

This is far broader than just options and other derivative financial instruments.

QUANTITATIVE FINANCE & RISK MANAGEMENT

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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.

QUANTITATIVE FINANCE: NEW PROBLEMS

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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

QUANTITATIVE FINANCE AT UTS

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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

BROAD SPECTRUM OF QUANT FINANCE RESEARCH Research Streams

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Asset/Liability Management for Superannuation, Pensions and Insurance

• Long-term investment modelling
• Equity-linked life insurance
• Financial modelling of annuities
• Valuation and risk-management
• f minimum return guarantees

Market Dynamics

• Financial market modelling
• Agent-based modelling
• Asset pricing with

heterogeneous beliefs, learning and social interactions

• Heterogeneous expectations

and empirical testing

• Profitability, return predictability,

and market sentiment

• High frequency trading and

learning in limit order markets

Structured products and quantitative investment strategies

• Portfolio diversification and
• ptimisation
• Optimal stochastic control
• Pricing and hedging of

derivative financial instruments

New risks and new markets

• Electricity markets
• Emissions trading
• Liquidity risk modelling
• Quantifying model risk

Mathematical, statistical and computational techniques

• Numerical and simulation

methods

• Optimisation
• Financial econometrics
• Machine learning
• Parallel computing

PERSONNEL

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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

SOME MODES OF ENGAGEMENT

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• ARC Linkage Projects
• Contract research
• Industry Doctoral Training Centre
• PhD student internship placements (AMSI scheme)
• Consulting

CONTACTS

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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