ER 1

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One open Marie Curie Experienced Researcher (ER, PostDoc) position

The Applied Mathematics and Numerical Analysis (AMNA) group at the University of Wuppertal is part of the Institute for Modelling, Analysis and Computational Mathematics (IMACM) that was founded in January 2011. The main objective of numerical analysis is the development, analysis and implementation of efficient and robust numerical algorithms to simulate mathematical models, e.g. in computational finance. The analytical properties of mathematical models affect this task as well as the hard- and software implications of underlying computer environments; both have to be included to the method's development. In the context of scientific computing, numerical analysis is per se interdisciplinary.

The STRIKE network (www.itn-strike.eu) will provide a unique opportunity for a total of 5 experienced researchers (ERs) to study emerging research topics in the field of computational finance under the prestigious scheme of Marie Curie Initial Training Network.

In the frame of FP 7 Marie Curie Initial Training Network STRIKE, the University of Wuppertal invites applications for an open Marie Curie ER fellowship. The aim of STRIKE is to deeper understand complex (mostly nonlinear) financial models and to develop effective and robust numerical schemes for solving linear and nonlinear problems arising from the mathematical theory of pricing financial derivatives and related financial products. This aim will be accomplished by means of financial modelling, mathematical analysis and numerical simulations, optimal control techniques and validation of models.

The fellow to be recruited by the University of Wuppertal will be employed with full social security coverage and all benefits in accordance with Marie Curie ITN fellowships regulations (highly competitive remuneration plus allowances for living and mobility expenses). The duration of the fellowship is 12 months for the Experienced Researchers.

Research activities will all be carried out at the Applied Mathematics and Numerical Analysis (AMNA) group at the University of Wuppertal in close collaboration with the STRIKE network.

The fellow will join the STRIKE community, take part in the STRIKE events and will perform their individual research projects and the dissemination of the Computational Finance Toolbox.

Details

Eligibility To this position applies a mobility rule. The respective candidate must not have worked for more than twelve months in Germany within the last three years. The candidate must be (at the time of recruitment)
  • in possession of a doctoral degree or
  • have at least four years and less than five years of full-time equivalent research experience.

At the time of recruitment by the host organisation the candidate must also have less than five years of full-time equivalent research experience. Full-time equivalent research experience is measured from the date when a researcher obtained the degree which would formally entitle him or her to embark on a doctorate, either in the country in which the degree was obtained or in the country in which the research training is provided.

Starting date July 2014
Duration 12 months
Salary/conditions according to Marie Curie ITN standards
Short description The ER 1 will be working closely with ESR 1 on the design and dissemination of the computational finance toolbox in general but also with the special focus on compact finite difference methods (FDMs) for nonlinear Black-Scholes (BS) equations. S/he will assist in the computational implementation of the numerical schemes developed by ESR 1 and gain experience in dissemination strategies of mathematical software.
Job requirements At the time of recruitment by the host organisation the candidate must also have less than five years of full-time equivalent research experience. Full-time equivalent research experience is measured from the date when a researcher obtained the degree which would formally entitle him or her to embark on a doctorate, either in the country in which the degree was obtained or in the country in which the research training is provided.
Host institute Faculty of Mathematics und Natural Sciences, Department of Mathematics and Informatics, University of Wuppertal.
Supervisor Prof. Dr. Matthias Ehrhardt
How to apply Please submit your letter of application, complete résumé, a short summary of your scientific projects so far, electronic copies of your relevant certificates and diplomas, a proof of your proficiency in English and finally two letters of recommendation to Prof. Dr. Matthias Ehrhardt
Deadline for application February 28th, 2014
Further information Please feel free to contact the supervisor Prof. Dr. Matthias Ehrhardt (Email)