G-expectation and its applications to non-linear risk management (ARC Discovery Project 130103517), Business and Economics, Macquarie University

Project:

G-expectation and its applications to non-linear risk management (ARC Discovery Project 130103517)

Brief

This project, hosted by the University of Adelaide, will develop novel theories and methods for non-linear risk management based on non-linear expectations and backward stochastic differential equations.

The expected outcomes of the project will place Australia in the leading position in these fields. The project involves Professor Ken Siu who will work with Professor Robert Elliott from University of Adelaide and Professor Shige Peng from Shandong University.

Researchers: 

Associate Professor Ken Siu (Department of Applied Finance and Actuarial Studies)