ER 5

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

The Numerical and Applied Mathematics Unit at the University of Greenwich is a research group supplying robust numerical algorithms and methods to various business science and engineering applications. It is part of the School of Computing and Mathematical Sciences. and provide teaching many undergraduate and graduate modules related to numerical mathematics. 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 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 University of Greenwich 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 University of Greenwich 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 and Applied Mathematics Unit at the University of Greenwich 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 Parallel Solution Techniques & OpenFOAM in Quantitative Finance.

Details

Eligibility: To this position applies a mobility rule. The respective candidate must not have worked for more than twelve months in the United Kingdom 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 2015
Duration: 12 months
Salary/conditions: according to Marie Curie ITN standards
Short description: ER 5 will work closely with the ESR 10 project in the area of parallel and distributed computing.

S/he will build upon the numerical framework for induced parallel techniques several implementation across different computing platforms, including GPU, clusters, OpenFOAM, and resources on the internet. Finally, real industrial problems related to commodities pricing and risk assessment will be solved with OpenFOAM.

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: The Numerical and Applied Mathematics Unit at the University of Greenwich, United Kingdom.
Supervisor: Prof. Dr. Choi-Hong Lai
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 and Ph.D., a proof of your proficiency in English and finally two letters of recommendation to Prof. Dr. Choi-Hong Lai
Deadline for application: March 31, 2015
Further information: Please feel free to contact the supervisor Prof. Dr. Choi-Hong Lai (Email)