ER 2

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

Comenius University of Bratislava is the largest university in Slovakia. It consists of 13 faculties. Among them is Faculty of Mathematics, Physics and Informatics at Comenius University of Bratislava. The permanent staff of Faculty of Mathematics, Physics and Informatics consists of 42 full professors, more than 50 lecturers and more than 200 teaching assistants. The research in its Mathematics section is mainly focused on Mathematical analysis, Qualitative theory of ordinary and partial differential systems and numerical approximation, Mathematical Statistics and probability theory. The Department of Applied Mathematics and Statistics runs the special study program Mathematics of Economics and Finance attracting talented and highly motivated students.

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 Comenius University of Bratislava 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 Comenius University of Bratislava 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 Department of Applied Mathematics and Statistics at the Comenius University of Bratislava 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 on nonlinear BS Equations in Commodity Market.


Details

Eligibility To this position applies a mobility rule. The respective candidate must not have worked for more than twelve months in Slovakia 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 2013
Duration 12 months
Salary/conditions according to Marie Curie ITN standards
Short description The ER 2 will work closely with the ESR 3 project focusing on qualitative and quantitative properties of solutions to nonlinear generalizations of the Black-Scholes (BS) equation. The aim is to analyze qualitative properties of solutions.

For American style of options the aim is to derive an analytic approximation formula for the early exercise boundary and investigate its dependence on model parameters. Using numerical schemes developed by the ESR 3 s/he will calibrate the model parameters for the nonlinear BS equation using real market data. Finally, nonlinear models (from ESR 3) will be calibrated with real market data in Computational Finance Toolbox.

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, Physics and Informatics at Comenius University of Bratislava, Bratislava, Slovakia.
Supervisor Prof. Dr. Daniel Sevcovic
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, diplomas, Ph.D., a proof of your proficiency in English and finally two letters of recommendation to Prof. Dr. Daniel Sevcovic
Deadline for application May 17th, 2015
Further information Please feel free to contact the supervisor Prof. Dr. Daniel Sevcovic