PhD Position in Improving Machine Learning Methods for Contingent Claim Pricing and Hedging

1 maand geleden

Amsterdam, Nederland Universiteit van Amsterdam Voltijd

What are you going to do

?

As a PhD candidate you will:

Engage in the development of new mathematical theory to characterize signals (such as, for example, path signatures) and the applications of such methods in mathematical finance (such as forward prices in energy markets, regime switching models or models for time-series data that can be exploited in machine learning tasks), Develop and implement efficient computational methods to characterize important features of observed financial data and use it for pricing and hedging or other optimal control problems in, for example, financial and energy markets, Collaborate with a team of experts in fields such as stochastic analysis, statistics, finance and computational science, Participate in interdisciplinary projects that aim to address real-world challenges in finance, Contribute to academic publications and present your findings at international conferences and seminars, Actively participate in the department’s educational programs, possibly including the supervision of undergraduate or master’s level students, Complete and defend a PhD thesis within the official appointment duration of four years.

Your profile

We are looking for an enthusiastic and driven candidate who meets the following requirements:

Educational Background: You should have a Master's degree in a field relevant to the position, such as Mathematics, Financial Mathematics, Statistics, or a related discipline. Experience: Experience in working with stochastic processes, stochastic models, computational methods and statistical analysis is required, as, e.g., proven by a Master’s thesis in this field. Analytical and Problem-Solving Skills: You should have excellent analytical abilities and a problem-solving mindset, with the capacity to work on complex financial models, computational methods and data sets. Interest in real world applications.: You should have a genuine interest in real world applications, as, e.g., proven by a master’s thesis or an Internship in a company. Communication Skills: Strong written and verbal communication skills are required. You should be able to articulate your research findings effectively to both academic and non-academic audiences. Proficiency in English is required. Teamwork and Independence: You should be highly motivated, committed to your research, and have a passion for academic excellence. While you should be able to work independently, you must also be a good team player, ready to collaborate with other researchers and contribute to joint projects.

Our offer

A temporary contract for 38 hours per week for the duration of 4 years (the initial contract will be for a period of 18 months and after satisfactory evaluation it will be extended for a total duration of 4 years). The preferred starting date is 1 September . This should lead to a dissertation (PhD thesis). We will draft an educational plan that includes attendance of courses and (international) meetings. We also expect you to assist in teaching undergraduates and master students.

The salary, will be € 2, in the first year to € 3, in the last year (scale P) gross per month, based on a fulltime contract (38 hours a week). This is exclusive 8% holiday allowance and 8.3% end-of-year bonus. A favourable tax agreement, the ‘30% ruling’, may apply to non-Dutch applicants. The is applicable.

Besides the salary and a vibrant and challenging environment at Science Park we offer you multiple fringe benefits:

holiday hours per year (based on fulltime) and extra holidays between Christmas and 1 January; multiple courses to follow from our Teaching and Learning Centre; a complete educational program for PhD students; multiple courses on topics such as leadership for academic staff; multiple courses on topics such as time management, handling stress and an online learning platform with + different courses; 7 weeks birth leave (partner leave) with % salary; partly paid parental leave; the possibility to set up a workplace at home; a pension at ABP for which UvA pays two third part of the contribution; the possibility to follow courses to learn Dutch; help with housing for a studio or small apartment when you’re moving from abroad.

Are you curious to read more about our extensive package of secondary employment benefits, take a look here.

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