The Applied Mathematics and Numerical Analysis (AMNA) group
at the University of Wuppertal is part of the Institute for Modelling,
Analysis and Computational Mathematics (IMACM) that was founded in January 2011.
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 scientific computing, numerical analysis is per se interdisciplinary.
The AMNA research group University of Wuppertal invites applications for
an open Ph.D. scholarship in the field of computational finance.
The applicant will register to
read for a Doctor rerum naturalium (Dr. rer. nat.)
of the Faculty of Mathematics and Natural Sciences of the University of Wuppertal.
The duration of the scholarship is 12 months and can be prolongated.
Research activities will all be carried out at the
Applied Mathematics and Numerical Analysis (AMNA) group
at the University of Wuppertal.
The scholarship holder will
perform his/her individual research projects studying the numerical pricing
of energy derivatives using sparse grid techniques.
| Eligibility: |
The respective candidate
must hold a master's degree in applied mathematics or a relevant field. |
| Starting date: |
May 1, 2013 |
| Duration: |
12 months, can be prolongated |
| Salary/conditions: |
1.500 Euro per month |
| Short description: |
The rapid changes in energy trading within the last two decades have attracted many
researchers in academics and industry. Their aim is to adequately model the prices and
to design methods and guidelines for risk managements and powerplant-portfolio-optimization.
The well-known non-storable property of energy leads to major modelling differences
(compared to stock- or bond markets). Further the inelastic demand and supply side and non-store-ability
result in sudden price spikes and high, varying volatility.
Also the mean reversion and the typicals
seasonal patterns exhibit a multiscale nature with respect to the time variable: Intra day, daily and annual.
In this thesis we will study the three standard modelling approaches: Equilibrium models, Reduced form models
and Mixed or hybrid models and discuss in depth the numerical solution using sparse grid techniques.
|
| Job requirements: |
Master's degree in applied mathematics or a relevant field.
Experience in computational finance and fluent english language is required. |
| Host institute: |
Faculty of Mathematics und Natural Sciences,
Department of Mathematics and Informatics,
University of Wuppertal. |
| Supervisor: |
Prof. Dr. Matthias Ehrhardt |
| How to apply: |
Please submit your letter of application, complete resumee,
electronic copies of your relevant certificates and diplomas
to the supervisor (ehrhardt@math.uni-wuppertal.de)
|
| Deadline for application: |
March 17th, 2013 |
| Further information: |
Please feel free to contact the supervisor Prof. Dr. Matthias
Ehrhardt (ehrhardt@math.uni-wuppertal.de) |
