ESR 2

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

The Applied Mathematics and Numerical Analysis (AMNA) group at the University of Wuppertal is part of the Institute for Modelling, Analysis and Computational Mathematics (IMACM) that was founded in January 2011. 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 scientific computing, numerical analysis is per se interdisciplinary.

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 Wuppertal 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 Wuppertal 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 Researchers the applicant will register to read for a Doctor rerum naturalium (Dr. rer. nat.) of the Faculty of Mathematics and Natural Sciences of the University of Wuppertal. The duration of the fellowship is 36 months for the Early Stage Researchers.

Research activities will all be carried out at the Applied Mathematics and Numerical Analysis (AMNA) group at the University of Wuppertal 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 MOR methods for energy derivatives.

Details

Eligibility: To this position applies a mobility rule. The respective candidate must not have worked for more than twelve months in Germany within the last three years and must not have been awarded a doctoral grade.
Starting date: June 1, 2013
Duration: 36 months
Salary/conditions: according to Marie Curie ITN standards
Short description: In this PhD project we will apply model order reduction (MOR) techniques to simulate efficiently high-dimensional mathematical models for financial processes, e.g., the pricing problem for European/American basket options. Here, MOR offers a way to automatically extract a surrogate PDE model of lower dimension, mapping between input (correlation matrix, payoff, interest rate, dividend yield, etc.) and output (option price). This lower-dimensional surrogate model would be also instrumental to determine robust control mechanisms for the original model.
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: Faculty of Mathematics und Natural Sciences, Department of Mathematics and Informatics, University of Wuppertal.
Supervisor: Prof. Dr. Michael Günther
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. Michael Günther
Deadline for application: March 31, 2013
Further information: Please feel free to contact the supervisor Prof. Dr. Michael Günther (E-Mail)