Parametric Complexity Reduction in Finance

Project Description

The School of Mathematical Sciences of Queen Mary University of London invite applications for a PhD project commencing in September 2020 for selffunded students.

This project will be supervised by Dr. Kathrin Glau.

  • The research focuses on:
    • Development of new computational methods for finance:
    • Fourier pricing;
    • Monte Carlo simulation;
    • Model order reduction techniques;
  • Applications to
    • Pricing;
    • Hedging;
    • Model calibration;
    • Risk management;
    • Modelling financial asset evolution;
  • The analysis of the reliability and efficiency of the new methods.

Funding Information

This project can be undertaken as a self-funded project. Self-funded applications are accepted year-round for a January, April or September start.

Eligibility Requirements

  • Strong background in mathematics, particularly in numerical mathematics;
  • Very good programming skills (Matlab/Python/C++) desired;
  • Prior knowledge of the field of computational finance is useful, but not required.

Application Process

If you are interested in the position, please contact Dr Glau via email ([email protected]). The following documents are helpful:

  • CV (including a list of publications/preprints if already available);
  • Master thesis or current draft of the master thesis;
  • Up-to-date academic transcript;
  • 2 letters of recommendation (sent directly by the author of the letter).

The official application is done via the following link: Apply Now.

Supplementary Information

The School of Mathematical Sciences is committed to the equality of opportunities and to advancing women’s careers. As holders of a Bronze Athena SWAN award we offer family friendly benefits and support part-time study.

To apply for this PhD, please use the following application link: