[Cite as http://purl.org/au-research/grants/arc/DP190102674]
Researchers Prof Tak Kuen Siu; Prof Robert Elliott; Prof Dilip Madan
Brief description This project aims to establish a novel field, namely two-price quantitative finance, and explore its applications. The new field will integrate two major schools for modelling and explain the presence of two prices, the buying and selling prices, widely observed in the real-world markets, and the equilibrium approach from the fundamental law of one price. The outcomes would deepen our understanding of the fundamental relationship among liquidity, prices, risk and the economy. This project expects to bring about long-term impact on quantitative finance and related applications through providing a deep understanding of, and a new perspective for, the design, risk and fairness of the finance, property and insurance markets.
Funding Amount $450,000
Funding Scheme Discovery Projects