Title Project Discription Level Supervisor
Advanced computational methods for valuation adjustments in finance

The project is motivated by a number of signi cant new computational challenges arising from the computation of valuation adjustments, collectively referred to as xVA, of over-the- counter derivatives and risk-management (hedging) of associated risks, as required by the on-going fi nancial...

PhD Project
Masters Project
Dr Duy-Minh Dang
SRS-05/17 Hybrid Monte Carlo and Partial Differential Equation computational methods for exotic options

Suitable for:  Master/Honours students with a good background in computational mathematics and/or scientific computing.  Proficiency in C++ is a must.

Project:  The project will focus on the development of hybrid Monte...

Summer Project Ms Janet Seddon
SRS-04/17 Hybrid Monte Carlo and PDE methods for valuation adjustments in finance

Suitable for:  Master/Honours students with an excellent background in computational mathematics and a strong interest/background in finance (eg Master of Financial Mathematics).

Project:...

Summer Project Ms Janet Seddon
Numerical methods for portfolio optimisation

In Australia, portfolio optimization is also particularly important from the perspective of individual investors with super fund investments. According to the Willis Towers Watsons Global Pension Assets Study 2017, about 87% of the pension plan assets under management in Australia are of the...

PhD Project
Masters Project
Dr Duy-Minh Dang
Hybrid Monte Carlo methods for high-dimensional problems in finance

Partial Differential Equation (PDE) and Monte Carlo (MC) are the two major computational approaches in finance. The PDE approach is a very robust and efficient pricing approach for...

PhD Project
Masters Project
Dr Duy-Minh Dang
Numerical methods for Hamilton Jacobi Bellman equations in finance.

Many popular problems in mathematical finance can be posed in terms of a stochastic optimal control problem, which can then be formulated as nonlinear Hamilton-Jacobi-Bellman (HJB) partial differential equations (PDEs), or partial integro-differential equations (PIDEs), when the underlying...

PhD Project
Masters Project
Dr Duy-Minh Dang
Ruin Theory and Correlated Random Walks

Ruin Theory is a branch of actuarial mathematics used by insurance companies for setting reserves.  The cleanest model is that of constant revenue subject to occasional losses (claims). An output of ruin theory in that case is the probability of defaulting.

In the basic model, inter...

Masters Project
Honours Project
Dr Yoni Nazarathy