ESR 10

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One open Marie Curie Early Stage Researcher (ESR, PhD) 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 ( will provide a unique opportunity for a total of 12 researchers in early stages of their careers 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). As an Early Stage Researcher the applicant will register to read for a PhD of the School of Computing and Mathematical Sciences at the University of Greenwich. The duration of the fellowship is 36 months for the Early Stage 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 spend 3 months visiting a STRIKE collaboration partner.

The fellow will join the STRIKE community, take part in the STRIKE events and will perform an individual research project studying Newton-like Methods for the Commodity Market.


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 and must not have been awarded a doctoral grade.
Starting date: as soon as possible
Duration: 36 months
Salary/conditions: according to Marie Curie ITN standards
Short description: In this project the goal is to combine the use of Newton’s method for nonlinear financial problems together with data parallel techniques and induced parallel techniques for GPU and cluster computational environment.

Tasks and methodology: Typical problems to be tackled are nonlinear option pricing of European/American options, commodities pricing and risk assessment. Results: A numerical framework for induced parallel techniques based on transformation methods will be built up.

Job requirements: Master's degree in mathematics or a relevant field. Only researchers are eligible who at the time of selection by the host organisation: have not yet been awarded the doctoral degree and are within the first four years (full-time equivalent) of their research careers starting with date of obtaining your master's degree or equivalent. Experience in computational finance is required.
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 and diplomas, a proof of your proficiency in English and finally two letters of recommendation to Prof. Dr. Choi-Hong Lai
Deadline for application: March 15, 2013
Further information: Please feel free to contact the supervisor Prof. Dr. Choi-Hong Lai (Email)