JobsPhD position

PhD position in Mathematics with focus on Matematical Finance and Economics

Umeå university, Department of Mathematics and Mathematical Statistics | Umeå, Sweden

Classification: Mathematics with focus on Matematical Finance and Economics

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. 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/

Last updated: 27 June 2022

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Apply by 14 August 2022

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