How to beat model uncertainty with more information

如何利用更多信息克服模型不确定性

• 批准号: DE200100896
• 负责人: Dr Anna Aksamit
• 金额: $ 29.98万
• 依托单位: The University of Sydney
• 依托单位国家: 澳大利亚
• 项目类别: Discovery Early Career Researcher Award
• 财政年份: 2020
• 资助国家: 澳大利亚
• 起止时间: 2020-01-01 至 2024-12-31
• 项目状态: 已结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/DE200100896
• 关键词: How; beat; model; uncertainty; more

Experience of the 2008 financial crisis exposed a weakness in our over-reliance on mathematical models. The main aim of this project is to develop mathematical tools to investigate the role of information in reducing model uncertainty. The project will undertake pressing research in robust finance, which is now one of the most active and dynamic topics in financial mathematics. It expects to quantify the value of information under uncertainty in mathematical modelling. It will generate new knowledge in probability theory and stochastic processes providing a significant mathematical contribution in its own right.

2008年金融危机的经验暴露了我们对数学模型的过度依赖的弱点。该项目的主要目的是开发数学工具来研究信息在降低模型不确定性中的作用。该项目将在健壮的金融方面进行紧迫的研究，该研究现在是金融数学中最活跃，最具动态的主题之一。它预计将量化数学建模不确定性下的信息的价值。它将在概率理论中产生新的知识，并自行提供重要的数学贡献。