ESR 9

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

The Numerical Analysis group at the Delft University of Technology is part of the Delft Institute of Applied Mathematics (DIAM). The main objective of numerical analysis is the development, analysis and implementation of efficient and robust numerical algorithms to simulate mathematical models, e.g. in computational finance. The analytical properties of mathematical models affect this task as well as the hard- and software implications of underlying computer environments; both have to be included to the method's development. In the context of finance, scientific computing is per se interdisciplinary.

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 Delft 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 Delft 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 the Faculty of Electrical Engineering, Mathematics and Computer Science of the Delft 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 Numerical Analysis group at the Delft 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 asymptotic expansions and Fourier techniques for Credit Valuation Adjustment.

Details

Eligibility: To this position applies a mobility rule. The respective candidate must not have worked for more than twelve months in the Netherlands 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: In this project the goal is to develop novel calibration techniques for modern applications in computational finance. These techniques may be based on highly efficient numerical computations by means of Fourier pricing techniques, or by asymptotic expansion techniques. At the same time we would like to use the methods developed to model and evaluate Credit portfolio Adjustments (CVA) for portfolios with financial derivatives. As the task of valuation of CVA for portfolios is huge and numerically enormously challenging, we aim to benefit from Fourier techniques and asymptotic expansions in this context, as well as from GPU computing.
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: Fac. Electr. Engineering, Mathematics and Computer Science, Delft Institute of Applied Mathematics, Delft University of Technology, The Netherlands.
Supervisor: Prof.dr.ir. Cornelis W. Oosterlee
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.ir. Cornelis Oosterlee
Deadline for application: January 31, 2013
Further information: Please feel free to contact the supervisor Prof.dr.ir. Cornelis Oosterlee (Email)