ER 3

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

The Instituto de Matemática Multidisciplinar (IMM) consists of more than 50 researchers of the Universidad Politécnica de Valencia (UPV) and works on Multidisciplinary mathematical modeling from Engineering to Human behaviour, including Numerical Financial Mathematics. The main research lines are: Numerical analysis and computing in Finance, Random differential equations and its applications, Modeling the spread of the infectious diseases and socially transmitted habits, etc.. The group has an intensive expertise in the numerical solution of nonlinear Black-Scholes equations, especially with finite difference methods.

The STRIKE network (www.itn-strike.eu) will provide a unique opportunity for a total of 5 experienced researchers 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 Universidad Politécnica de Valencia invites applications for an open Marie Curie ESR 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 Universidad Politécnica de Valencia 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 IMM group at the Universidad Politécnica de Valencia 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 studying High-Order Compact FDMs and Semilagrangian Schemes

Details

Eligibility: To this position applies a mobility rule. The respective candidate must not have worked for more than twelve months in Spain 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: January 1, 2016
Duration: 12 months
Salary/conditions: according to Marie Curie ITN standards
Short description: The ER 3 will work closely with the ESR 4 project on both the problems, the stochastic volatility models and the jump diffusion models. S/he will assist in the implementation of the numerical schemes of ESR 4 and semilagrangian Schemes from A Coruña and works on the performance of illustrative examples and simulations showing the numerical stability and accuracy of the solution.

The ER will implemented codes on stochastic volatility models and the jump diffusion models in CF 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: Instituto de Matemática Multidisciplinar (IMM), Universidad Politécnica de Valencia (UPV)
Supervisor: Prof. Lucas Jodar Sánchez
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. Lucas Jodar Sánchez
Deadline for application: March 31th, 2013
Further information: Please feel free to contact the supervisor Prof. Lucas Jodar Sánchez (E-Mail )