ESR 7

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



One open Marie Curie Early Stage Researcher (ESR, PhD) position (UA Zittau/Görlitz)

The research group of Prof. Dr. Ljudmila Bordag is part of the Faculty of Mathematics and Natural Science at the University of Applied Sciences Zittau/Görlitz with 52 staff members including 22 professors, out of which are 8 mathematicians. It has a long experience in Economics, Insurance and Finance Mathematics Analysis.

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 Applied Sciences Zittau/Görlitz 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 Applied Sciences Zittau/Görlitz 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). The duration of the fellowship is 36 months for the Early Stage Researchers.

Research activities will all be carried out at the Faculty of Mathematics and Natural Science at the University of Applied Sciences Zittau/Görlitz 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 Lie group analysis for nonlinear Black-Scholes equations.

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: as soon as possible
Duration: 36 months
Salary/conditions: according to Marie Curie ITN standards
Short description: Typical frictions in financial markets like transaction costs, information delay, liquidity problems, lead to nonlinear extensions of the BS equation. The illiquidity problem is one of the most important problems in crisis and post-crisis financial markets at present. This ESR project is devoted to the development of a mathematically exact measure of illiquidity and the study of mathematical models arising, usually presented by nonlinear PDEs.

Tasks and methodology: Analytical methods such as Lie group analysis and classical analysis of corresponding viscosity solutions will be used to study existing and new nonlinear PDEs describing optimal portfolios and derivative products in illiquid markets. Real trading data from industry partners will be used to evaluate the models and results. Lie group analysis of highly relevant classes 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 quantitative finance is required.
Host institute: Faculty of Mathematics and Natural Science, University of Applied Sciences Zittau/Görlitz, Germany.
Supervisor: Prof. Dr. Ljudmila A. Bordag
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. Ljudmila A. Bordag
Deadline for application: December 31, 2012
Further information: Please feel free to contact the supervisor Prof. Dr. Ljudmila A. Bordag (Email)