ESR 8

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

The Vienna research group of Prof. Ansgar Jüngel is part of the Institute for Analysis and Scientific Computing of Vienna University of Technology. The group has many years of experience in working on the mathematical modelling, analysis, or numerical approximation of nonlinear PDEs. The analytical expertise is on nonlinear PDE theory, functional analytical techniques, and kinetic theory. The numerical know-how includes mixed finite-element methods, stable (compact) finite difference or finite volume discretizations, and pseudo-spectral schemes. The understanding of nonlinear effects in financial models and their efficient numerical treatment are some of the main topics examined in the group.

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 Vienna University of Technology 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 Vienna University of Technology 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 Institute for Analysis and Scientific Computing of Vienna University of Technology. The duration of the fellowship is 36 months for the Early Stage Researchers.

Research activities will all be carried out at the Institute for Analysis and Scientific Computing of Vienna University of Technology 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 herding and contagion effects in financial markets and possible counteractions proposed by optimal control techniques.

Details

Eligibility: To this position applies a mobility rule. The respective candidate must not have worked for more than twelve months in Austria 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 starting point of this PhD project is the contagion model of Dai Pra et al., which describes the propagation of financial stress in a network of firms facing credit risk. Dai Pra et al. assume that the independent variables, namely the rating class and the financial health, take two values only (“good” and “bad” rating or financial health). Then they formulate a continuous Markov chain model on a discrete state space.

Tasks and methodology: 1) allow for continuous instead of discrete independent variables, which lead, in the mean-field limit, to a MacKean-Vlasov-type equation with a nonlocal nonlinearity. 2) study the well-posedness of the nonlinear equation using techniques from kinetic theory. 3) discretize the equation employing, for instance, finite differences.

Results: The simulation results will be used for a portfolio loss distribution analysis and the computation of the loss risk.

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. Very good knowledge of (nonlinear) partial differential equations is required.
Host institute: Institute for Analysis and Scientific Computing of Vienna University of Technology, Vienna, Austria.
Supervisor: Prof. Dr. Ansgar Jüngel
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 Ms Manuela Khaladj
Deadline for application: February 28, 2013
Further information: Please feel free to contact the supervisor Prof. Dr. Ansgar Jüngel ([ansgar.juengel@tuwien.ac.at Email])