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Being a newly established program
of the Institute of Mathematics and Applied Statistics
(IMaS), the Centre of Mathematical Finance (CMF) is
dedicated to fostering an excellent research environment
for cross-faculty and interdisciplinary research.
Aims of CMF:
- Conducting quality research in quantitative finance
and computational finance;
- Establishing industrial links and carrying out collaborative
work with industry to benefit various sectors of the
community;
- Promoting interdisciplinary research within the
IMaS and across faculties;
- Attracting postgraduate students and providing an
excellent research and learning environment;
Members of CMF:
Pam Davy
Joanna Goard
Joel
Grant
Chandra Gulati
Yanxia Lin
Michael
McCrae
Songping Zhu (Director)
Main Research Interests:
- Long run equilibrium dynamics in financial asset
pricing series
- Statistical arbitrage modelling in derivatives markets
- Hedge fund dynamics
- Neural networks in financial forecasting
- Pricing of American Options and moving boundary
value problems
- Computational finance
- Convertible bonds and Asian Options
- Partial differential equations governing prices
of financial derivatives such as bonds and options
- Stochastic differential equations for underlying
variables such as interest rates and stocks
- Behavioural finance
- Empirical data analysis
- Inference in stochastic processes
- Time series analysis
- Co-integration analysis and applications
- Long memory processes
- GARCH models and inference on herteriscdestic models
- Quasi-likelihood method and its applications
- Sample survey analysis
- Inferences on stochastic processes
Currently Enrolled Ph.D Students:
Ms. Porntip Dechpichai
Supervisor: Dr. Pam Davy
Project Title: Optimal Data Mining Approach to Time
Series Analysis
Mrs. Nongnit Chancharat
Supervisors: A/Prof. Michael McCrae and Dr. Pam Davy
Project Title: The Determinants of Finance Company Failure:
The Case of Thailand
Heni Puspaningrum
Supervisors: Yang-Xia Lin and Dr. Chandra Gulati
Thesis Title: Pair Trading Strategy
Currently Enrolled Honours Master Students:
Diane Banks
Supervisor: A/Prof. S.-P. Zhu,
Project Title: A new approximation for the value of
American call options with constant dividend payment.
Currently Enrolled Honours Students:
David Sacco
Supervisors: A/Prof. Yang-Xia Lin and A/Prof. Michael
McCrae,
Project Title: Alternative models of dividend effects
on share price volatilities
Drew Shaw
Supervisors: Dr. Joanna Goard and A/Prof. S.-P. Zhu
Project Title: Incorporating Discrete Dividend into
Option Pricing.
Marc Wilkinson
Supervisors: A/Prof. John Rayner and Dr. Chandra Gulati
Project Title: Estimation of the distribution of returns
on financial assets and its practical significance
Leesa Petty
Supervisors: Dr. Chandra Gulati and A/Prof. Michael
McCrae
Project Title: Cross listed shares, diversification
benefits and international portfolios
Job Opportunities for students:
A position opportunity may be
available for commencement in 2006 with the ANZ Bank.
They are looking for a person who is very fluent in
C++, and it is preferable, although not essential that
they have some financial maths background. The role
will be to built a BGM pricing model and then use it
to value the structured Euro Medium Term Notes that
are currently in the Bank's books. Our preference is
for full time but part time would be acceptable with
moving to full time later.
For further information, please
contact Song-Ping Zhu
on +61 2 4221 3807, Room 15.G37.
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Insurance Australia Group Limited
(IAG) is Australasia's leading general insurance group
employing around 11,000 people. Some of Australasia's
most respected brands are members of the Group, including
NRMA Insurance, SGIC, SGIO, CGU and Swann Insurance
in Australia and State Insurance and NZI in New Zealand.
The Research and Development Department has an opportunity
for a Research Analyst to join their team. The Research
and Development Department monitors IAG’s business
risks and formulates strategies to manage these risks
and optimise returns consistent with the group’s
willingness to take risk.
In your role as Research Analyst, you will be required
to:
- Extract and prepare insurance data for analysis
and reporting needs
- Analyse data
- Present recommendations/findings to senior management
across the organisation answering queries and assisting
in the implementation of recommendations
- Adopt the appropriate Statistical techniques and
work within set timeframes
- Write Reports
In essence, your key focus will be to optimise the
profitability of all IAG products for maintaining and
strengthening the IAG business position in the market.
Suitable applicants will possess the following:
- Tertiary qualifications in a statistics discipline
- Will ideally have previous experience in undertaking
and analysing complex statistical research and applying
research skills in a practical environment
- Experience in the use of sophisticated computing
tools, languages and programming techniques are also
an advantage
- Strong communication skills are a prerequisite
IAG offers a competitive salary package, including performance-based
incentives, 13% superannuation and discounts on products
and more.
Short listed applicants will be subject to a full probity
check.
For further information please
contact Joanna Goard
on 4221 4188 or Room 15.237.
Seminars held in 2004:
“Detecting
Long run equilibrium processes in financial asset price
series” By Assoc. Prof Michael McCrae (School
of Accounting and Finance, UOW)
PhD Completion in 2004
Dr. Ricardo Biondini
Supervisor Assoc Prof. Y-X Lin and Assoc. Prof. Michael
McCrae
Thesis Title: "Improving the Modelling of the Distributional
Properties of Financial Time Series - An Application
of Dynamic Models within the Context of Conditional
Variance of Basis Risk "
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