ESR 5

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

The Faculty of Nature Sciences and Education at University of Rousse consists of about 50 professors and lectures. There are 2 academic programmes on undergraduate and graduate level: Mathematics, Informatics. The main teaching and research areas are: Algebra, Geometry, Mathematical Analysis, Real and Functional Analysis, Differential Equations, Numerical Mathematics and Optimization, Probability and Statistics, Mathematics in Education, Informatics and Computer Science. The Rousse group works on numerical methods for solving boundary and initial boundary value problems for differential equations, construction, stability and convergence of FDMs, especially the immersed interface method.

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 Rousse 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 Rousse 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 Nature Sciences and Education at University of Rousse. The duration of the fellowship is 36 months for the Early Stage Researchers.

Research activities will all be carried out at the Faculty of Nature Sciences and Education at University of Rousse 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 fitted operator and special meshes in computational finance.

Details

Eligibility: To this position applies a mobility rule. The respective candidate must not have worked for more than twelve months in Bulgaria 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: This project is devoted to construction and theoretical analyze of fitted finite volume difference and element methods for degenerate parabolic problems based on Black-Scholes and Kolmogorov-Fokker-Planck model equations of finance. We will use transformation and artificial boundary techniques to develop numerical methods on finite domains. The degeneration on the domain boundaries and low volatility coefficients of the differential operators require to be implemented methods of Sobolev spaces and boundary layers theory. The results obtained for linear problems will be combined with Picard and Newton two-grid linearization procedures for numerical solution of nonlinear Black-Scholes equations.
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 Faculty of Nature Sciences and Education at University of Rousse, Bulgaria.
Supervisor: Prof. Dr. Lubin Vulkov
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. Lubin Vulkov
Deadline for application: January 31, 2013
Further information: Please feel free to contact the supervisor Prof. Dr. Lubin Vulkov (Email)