PhD Position in European Computational Finance Network ‘Newton-Like Methods for Nonlinear PDEs and Commodity Market’, University of Greenwich
A PhD position is available within the newly established Initial Training Network (ITN) ‘STRIKE- Novel Methods in Computational Finance’, funded by the Marie Curie actions under the FP7 People programme from the European Commission.
In recent years the computational complexity of mathematical models employed in financial mathematics has witnessed a tremendous growth. Advanced numerical techniques are imperative for the most present-day applications in financial industry.
The motivation for this training network is the need for a network of highly educated European scientists in the field of financial mathematics and computational science, so as to exchange and discuss current insights and ideas, and to lay groundwork for future collaborations. Besides a series of internationally recognized researchers from academics, leading quantitative analysts from the financial industry also participate in this network.
This ITN Marie Curie ESR fellowship is available at the Numerical and Applied Mathematics Research Unit. The group has extensive experience in various option pricing with or without jump diffusion, pricing basket options with more than six underlying assets, American options with nonlinear volatility, numerical methods for nonlinear Black-Scholes problems, robust parallel and distributive algorithms based on temporal and spatial decomposition methods for nonlinear problems, and efficient software implementation of high order difference schemes for nonlinear problems.
The fellowship is open to applicants graduated with a first class or 2.1 MSc degree or its equivalent in the discipline of Mathematics, Financial Mathematics, Applied Mathematics, or Mathematics with Finance/Economics. In addition, the applicant has to satisfy the ESR eligibility criteria stated in http://www-amna.math.uni-wuppertal.de/itn-strike/wiki/index.php/Open_Positions#Eligibility.
IELTS 6.5 in English or its equivalent is required should the applicant’s first language is not English. The tenure of the fellowship starts now and finishes on 31 December 2016.
Objectives of the Work Package: Combine the use of Newton’s method for nonlinear financial pde problems in commodity pricing together with data parallel techniques and induced parallel techniques for GPU and cluster computational environment.
The successful applicant will focus on nonlinear option pricing of European/American options, commodities pricing and risk assessment. The work has planned secondment at Bratislava on Newton-like methods in the commodity market and at Delft on parallel solution techniques.
The successful applicant will be hosted at the Numerical and Applied Mathematics Research Unit, Department of Mathematical Sciences, with close collaboration with the STRIKE network, and will be required to register for MPhil/PhD with the university. Annual gross salary, inclusive of living and mobility allowances, is at the ITN Marie Curie ESR rate amount to approximately £38,000 after taking into account of exchange rates. The network actively promotes the participation of women in science by offering a supportive and inclusive workplace for female candidates as well as for male candidates.
Suitably qualified candidates are invited to send an up-to-date cv, research motivation, and transcript of studies in a single pdf file, with names and contacts of two referees, to Prof. Choi-Hong Lai at C.H.Lai@gre.ac.uk.
Nr of positions available : 1
Mathematics - Computational mathematics
Early stage researcher or 0-4 yrs (Post graduate)
First Stage Researcher (R1)
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|Degree||Master Degree or equivalent|
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University of Greenwich, School of Computing and Mathematical Sciences
Maritime Greenwich Campus
FP7/People - Marie Curie Actions
School of Computing and Mathematical Sciences
Maritime Greenwich Campus
SE10 9LS - Greenwich, London
phone +44 (20) 8331 8712
fax +44 (20) 8331 8665
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