PhD position in Financial Mathematics

Umeå University, Faculty of Science and Technology Umeå University is one of Sweden’s largest institutions of higher education with over 35,000 students and 4,200 faculty and staff. We are characterised by world-leading research in several scientific fields and a multitude of educations ranked highly in international comparison. Umeå University is also the site of the pioneering discovery of the CRISPR-Cas9 genetic scissors - a revolution in genetic engineering that has been awarded the Nobel Prize in Chemistry. At Umeå University, everything is nearby. Our cohesive campus environment makes it easy to meet, collaborate and exchange knowledge, which promotes a dynamic and open culture where we rejoice in each other's successes. Are you interested in knowing more about Umeå University as a workplace read more at: https://umu.se/en/work-with-us The Department of Mathematics and Mathematical Statistics conducts research in computational mathematics, discrete mathematics, mathematical modelling and analysis, and mathematical statistics. Our teaching is conducted at all levels and includes mathematics, mathematical statistics and computational science. Among our partners are international research groups, academic institutions, public organizations and companies. The Department of Mathematics and Mathematical Statistics is opening a PhD position in mathematics focusing on Financial Mathematics. The position involves four years of doctoral studies, including participation in research and postgraduate courses. The last day to apply is August 15th, 2022. Project description and tasks This project looks at the valuation of real options in the presence of multiple agents and strategic competition; a framework often referred to as real option games. Classical literature argues that a strategic element in real options erodes the option value, leading to a suboptimal equilibrium. Some mechanisms that reduce this effect have been discussed recently, specifically information and noise by Lambrecht as well as complementarity and cooperation. However, in recent work the supervisor showed, that access to financial markets with specifically designed structured products can alter the decision making to move away from inefficient equilibria. In the context of this research proposal, we will build on a classical setup where companies compete for projects and make investment decisions accordingly and add a market in which shares and other derivatives products on the various companies are traded. We allow the companies to trade in these and run a portfolio alongside their own business. We will study the effects on equilibria and investigate applications in resource economics and corporate finance. The modelling will be undertaken preferably in continuous time, but some of the work may also require discrete-time modelling. Qualifications The doctoral student will be admitted for studies at third-cycle level in subject Mathematics. To fulfil the general entry requirements, the applicant must have qualifications equivalent to a completed degree at second-cycle level or completed course requirements of at least 240 ECTS credits, including at least 60 ECTS credits at second-cycle level. To fulfil the specific entry requirements to be admitted for studies at third-cycle level in mathematics, the applicant is required to have completed at least 60 ECTS credits within the field of mathematics, of which at least 15 ECTS credits shall have been acquired at second-cycle level. Applicants who have acquired largely equivalent skills in some other system, either within Sweden or abroad, are also eligible. Good skills in programming (preferably MatLab, Python or R) are required. Good knowledge of both written and spoken English is also a requirement. Documented knowledge and experience in numerical methods, stochastic optimal control, optimal stopping, and financial derivatives or closely related areas are merits. You are expected to play an active role in the development of this doctoral project and the department. You are expected to have a scientific and result-oriented approach to your work. You should therefore have good communication and collaboration ability. You can work in a structured, flexible, and solution-oriented manner. Assessments of the applicants are based on their qualifications and ability to benefit from the doctoral study they will receive. About the employment The position is intended to result in a doctoral degree. The main task of the doctoral student is to pursue their doctoral studies, including active participation in research and doctoral courses. The duties may include teaching or other departmental work (up to 20%). The employment is limited to the equivalent of four years of full-time (48 months) or up to five years when teaching part-time. Salary is set in accordance with the established salary ladder for PhD positions at Umeå University. The employment starts on September 1, 2022, or according to mutual agreement. Application Application is made through our recruitment system by August 15, 2022. Log in and apply via the button at the bottom of the page. The application must consist of the following documents written in English or Swedish: Personal letter with a brief description of your qualifications and research interests. Justify why you are applying for the position and describe how your qualifications and merits are relevant to the project. Ideally, summarise your ideas and thoughts on the project — a maximum of two pages. Curriculum vitae. Authenticated copies of degree certificates, diplomas or equivalent, including documentation of completed academic courses, received grades, and possibly other certificates. Copies of relevant work such as master’s thesis or articles you have authored or co-authored. If the master’s thesis has not been completed before the application deadline, a summary of the master’s thesis project and current progress shall be included. The summary can at most be five pages, including figures and references. GMAT (or GRE) and TOEFL/IELTS test scores, if available. Contact information for two references. The Department of Mathematics and Mathematical Statistics values the qualities that a gender balance brings to the department, and therefore we particularly encourage female applicants. The procedure for recruitment for the position is in accordance with the Higher Education Ordinance (Chapter 12, Section 2), and the decision regarding the position cannot be appealed. More information Professor Christian Ewald (christian.ewald@umu.se) provides more information about the position. More information about the Department of Mathematics and Mathematical Statistics: https://www.umu.se/en/department-of-mathematics-and-mathematical-statistics/ Umeå University strives to offer an equal environment where open dialogue between people with different backgrounds and perspectives lay the foundation for learning, creativity and development. We welcome people with different backgrounds and experiences to apply for the current employment.

Last updated: 27 June 2022