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Early Stage Researcher Marie Curie FP7 Multi-ITN STRIKE (Novel Methods in Computational Finance): One Marie Curie Fellowship in ‘Newton-Like Methods for Nonlinear PDEs and Commodity Market’, Participant 9, University of Greenwich

STRIKE: In recent years the computational complexity of mathematical models employed in financial mathematics has witnessed a tremendous growth. Advanced numerical techniques are imperative for the most present-day applications in financial industry. The motivation for this training network is the need for a network of highly educated European scientists in the field of financial mathematics and computational science, so as to exchange and discuss current insights and ideas, and to lay groundwork for future collaborations. Besides a series of internationally recognized researchers from academics, leading quantitative analysts from the financial industry also participate in this network. The challenge lies in the necessity of combining transferable techniques and skills such as mathematical analysis, sophisticated numerical methods and stochastic simulation methods with deep qualitative and quantitative understanding of mathematical models arising from financial markets. 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. 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.

This ITN Marie Curie ESR fellowship is available at the Numerical and Applied Mathematics Research Unit. The group has extensive experience in various option pricing with or without jump diffusion, pricing basket options with more than six underlying assets, American options with nonlinear volatility, numerical methods for nonlinear Black-Scholes problems, robust parallel and distributive algorithms based on temporal and spatial decomposition methods for nonlinear problems, and efficient software implementation of high order difference schemes for nonlinear problems.

The fellowship is open to applicants graduated with a first class or 2.1 MSc degree or its equivalent in the discipline of Mathematics, Financial Mathematics, Applied Mathematics, or Mathematics with Finance/Economics. In addition, the applicant has to satisfy the ESR eligibility criteria stated in Section III.3.2 (a) and (b) of ftp://ftp.cordis.europa.eu/pub/fp7/docs/fp7-mga-annex3intramulti_en.pdf. IELTS 6.5 in English or its equivalent is required should the applicant’s first language is not English. The tenure of the fellowship starts now and finishes on 31 December 2016.

Objectives of the Work Package: Combine the use of Newton’s method for nonlinear financial pde problems in commodity pricing together with data parallel techniques and induced parallel techniques for GPU and cluster computational environment.
The successful applicant will focus on nonlinear option pricing of European/American options, commodities pricing and risk assessment. The work has planned secondment at Bratislava on Newton-like methods in the commodity market and at Delft on parallel solution techniques.
The successful applicant will be hosted at the Numerical and Applied Mathematics Research Unit, Department of Mathematical Sciences, with close collaboration with the STRIKE network, and will be required to register for MPhil/PhD with the university. Annual gross salary, inclusive of living and mobility allowances, is at the ITN Marie Curie ESR rate amount to approximately £38,000 after taking into account of exchange rates. The network actively promotes the participation of women in science by offering a supportive and inclusive workplace for female candidates as well as for male candidates. Suitably qualified candidates are invited to send an up-to-date cv, research motivation, and transcript of studies in a single pdf file, with names and contacts of two referees, to Prof. Choi-Hong Lai at C.H.Lai@gre.ac.uk.