ER 4

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One open Marie Curie Experienced Researcher (ER, Postdoc) position (TU Delft)

The Numerical Analysis group at the Delft University of Technology is part of the Delft Institute of Applied Mathematics (DIAM). 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 finance, scientific computing is per se interdisciplinary.

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 Delft University of Technology 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 Delft University of Technology 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 Numerical Analysis group at the Delft University of Technology in close collaboration with the STRIKE network.

The fellow will join the STRIKE community, take part in the STRIKE events and will perform an individual research project studying a Case Study: CVA for the interest rate market .

Details

Eligibility: To this position applies a mobility rule. The respective candidate must not have worked for more than twelve months in the Netherlands 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: ER 4 will work closely with the ESR 9 project on Credit Valuation Adjustment (CVA). The task is the efficient implementation of robust and efficient derivative pricing methods, including risk factors and that are highly suitable for execution on massively parallel systems such as clusters of Graphical Processing Units.

ER 4 will implement codes on CVA in CF toolbox, capable of running on GPUs.

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: Fac. Electr. Engineering, Mathematics and Computer Science, Delft Institute of Applied Mathematics, Delft University of Technology, The Netherlands.
Supervisor: Prof.dr.ir. Cornelis W. Oosterlee
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.ir. Cornelis Oosterlee
Deadline for application: March 31, 2013
Further information: Please feel free to contact the supervisor Prof.dr.ir. Cornelis Oosterlee (Email)