ESR 4

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

The Instituto de Matemática Multidisciplinar (IMM) consists of more than 50 researchers of the Universidad Politécnica de Valencia (UPV) and works on Multidisciplinary mathematical modeling from Engineering to Human behaviour, including Numerical Financial Mathematics. The main research lines are: Numerical analysis and computing in Finance, Random differential equations and its applications, Modeling the spread of the infectious diseases and socially transmitted habits, etc.. The group has an intensive expertise in the numerical solution of nonlinear Black-Scholes equations, especially with finite difference methods.

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 Universidad Politécnica de Valencia 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 Universidad Politécnica de Valencia 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 PhD of the Universidad Politécnica de Valencia. The duration of the fellowship is 36 months for the Early Stage Researchers.

Research activities will all be carried out at the IMM group at the Universidad Politécnica de Valencia 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 FDMs for existing alternative models to BS equation paying special attention to the numerical analysis.

Details

Eligibility: To this position applies a mobility rule. The respective candidate must not have worked for more than twelve months in Spain 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: This PhD project will be focused on numerical analysis and computing of numerical solution for several option pricing models that generalize the Black-Scholes model. Special attention will be paid to stochastic volatility models. Another point of interest will be the partial integro-differential equations (PIDEs) which arise in option pricing theory when the underlying asset is driven by a Lévy process in both cases when the models present finite and infinity activity. The general scenario when the stochastic volatility models with jumps are assumed will be treated as well as the study of multifactor problems.

The study of suitable numerical properties as the consistency, positivity and the stability of the proposed FDMs will be included.

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: Instituto de Matemática Multidisciplinar (IMM), Universidad Politécnica de Valencia (UPV)
Supervisor: Prof. Lucas Jodar Sánchez
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. Lucas Jodar Sánchez
Deadline for application: April 12th, 2013
Further information: Please feel free to contact the supervisor Prof. Lucas Jodar Sánchez (E-Mail )