The Quantitative Finance Research Centre is a joint initiative of the School of Finance and Economics and the Department of Mathematical Sciences. The Centre:

> coordinates and develops a major research program addressing problems in financial risk measurement and management;

> provides a world class post-graduate research program in Australia;

> provides independent high quality policy advice to industry and government and enhances the quality of contract research and consultancy services.

Research in quantitative finance focuses broadly on the development of methods and techniques to quantify, measure and manage various types of risks in modern financial markets. The ultimate social benefits of such research are a more efficient allocation of capital in a globally competitive economy, and the provision of the cutting edge financial engineering technology that will play an important part in Australia assuming the role of a major regional financial centre to which it aspires. The group is one of the leading centres for quantitative finance on the Pacific rim.

The Department of Mathematical Sciences’ participation in the Centre is focussed on the development of quantitative models of financial markets. These models inherently incorporate the effects of random fluctuations in prices, and provide estimates of the degree to which an organisation’s assets are at risk due to a given investment strategy. Financial managers can use these estimates to manage the organisation’s exposure to that risk.

Financial models rarely give simple analytic results, and so we must rely on sophisticated numerical methods to derive our results. The work done in this area within the Department of Mathematical Sciences focuses on the development of improved analytic and numerical methods for modelling financial instruments and on the study of the underlying stochastic processes.

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