ESR 12

From ITN-STRIKE
Jump to: navigation, search
MarieCurieActions.jpg FP7.jpg Esf logo.png



One open Marie Curie Early Stage Researcher (ESR, PhD) position (U Antwerp)

The Applied Mathematics and Numerical Analysis group is part of the Department of Mathematics and Computer Science. The group focuses on numerical methods for multidimensional partial differential equations in finance, physics, chemistry and biology. The group is key participant in the Scientific Research Network Stochastic Modelling with Applications in Financial Markets of the Research Foundation - Flanders (FWO). Antwerp has broad experience with the numerical simulation of multidimensional time-dependent partial differential equations modelling option prices. Notably, it has expertise with splitting methods of various types and has made ample contributions to the development, analysis and application of such methods in finance.

The STRIKE network (www.itn-strike.eu) 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 Antwerp 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 Antwerp 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 Department of Mathematics and Computer Science at the University of Antwerp. The duration of the fellowship is 36 months for the Early Stage Researchers.

Research activities will all be carried out at the The Applied Mathematics and Numerical Analysis group at the University of Antwerp 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 ADI-Schemes for nonlinear multi-dimensional BS Equations.

Details

Eligibility: To this position applies a mobility rule. The respective candidate must not have worked for more than twelve months in Belgium within the last three years and must not have been awarded a doctoral grade.
Starting date: July 1, 2013
Duration: 36 months
Salary/conditions: according to Marie Curie ITN standards
Short description: The pricing and hedging of options in the presence of transaction costs is well-known to yield nonlinear PDEs generally do not admit solutions in closed form. Hence, numerical methods form an imperative tool in practice to gain insight. For one-factor models, various numerical techniques have been proposed and analyzed in the literature. These are most often based upon finite difference schemes combined with explicit or implicit time stepping methods. Multi-factor models give rise to nonlinear multi-dimensional PDEs . Their numerical solution is still in its infancy at present.

Tasks and methodology: In this project we investigate Alternating Direction Implicit (ADI) schemes for solving nonlinear multi-dimensional PDEs. These schemes have already proven to be successful in a wide range of financial applications. ADI schemes are promising tools, as they perform a splitting in the different spatial directions, leading to a substantial reduction in computational cost per time step compared to standard implicit time stepping methods, like Crank-Nicolson.

Results: Implementation of ADI schemes for solving nonlinear multi-dimensional PDEs and investigation of their properties, e.g. stability, for nonlinear multi-dimensional PDEs that model option prices with transaction costs.

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 Applied Mathematics and Numerical Analysis group at the University of Antwerp, Belgium.
Supervisor: Prof. Dr. Karel in 't Hout
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. Karel in 't Hout
Deadline for application: March 31, 2013
Further information: Please feel free to contact the supervisor Prof. Dr. Karel in 't Hout (Email)