ESR 3

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

Comenius University of Bratislava is the largest university in Slovakia. It consists of 13 faculties. Among them is Faculty of Mathematics, Physics and Informatics at Comenius University of Bratislava. The permanent staff of Faculty of Mathematics, Physics and Informatics consists of 42 full professors, more than 50 lecturers and more than 200 teaching assistants. The research in its Mathematics section is mainly focused on Mathematical analysis, Qualitative theory of ordinary and partial differential systems and numerical approximation, Mathematical Statistics and probability theory. The Department of Applied Mathematics and Statistics runs the special study program Mathematics of Economics and Finance attracting talented and highly motivated students.

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 Comenius University of Bratislava 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 Comenius University of Bratislava 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 Faculty of Mathematics, Physics and Informatics at Comenius University of Bratislava. The duration of the fellowship is 36 months for the Early Stage Researchers.

Research activities will all be carried out at the Department of Applied Mathematics and Statistics at the Comenius University of Bratislava 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 nonlinear generalizations of the Black-Scholes model.

Details

Eligibility: To this position applies a mobility rule. The respective candidate must not have worked for more than twelve months in Slovakia 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: The goal is to investigate qualitative and quantitative properties of solutions to nonlinear generalizations of the BS equation. Nonlinear models can capture several important phenomena like transaction costs, investor’s risk from unprotected portfolio, investor’s expected utility maximization, illiquid markets, large traders feedback influence, etc.. Such generalizations can be mathematically stated in the form of a nonlinear BS equation in which the volatility is adjusted to be a function of the Gamma of the option. Our approach is based on the analysis of the nonlinear BS equation for the Gamma of the option by means of combination of fully implicit and explicit FDMs. The methodology will be applied to and numerically tested on European, American and path dependent options.
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, Physics and Informatics at Comenius University of Bratislava, Bratislava, Slovakia.
Supervisor: Prof. Dr. Daniel Sevcovic
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. Daniel Sevcovic
Deadline for application: January 31, 2013
Further information: Please feel free to contact the supervisor Prof. Dr. Daniel Sevcovic (Email)