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Deep Learning Reduced Basis Method for High-Dimensional Parametric Partial Differential Equations in Finance.

  • Full or part time
  • Application Deadline
    Friday, December 13, 2019
  • Funded PhD Project (European/UK Students Only)
    Funded PhD Project (European/UK Students Only)

Project Description

The School of Mathematical Sciences of Queen Mary University of London invite applications for a PhD project commencing in January 2020 or April 2020.

This project would be supervised by Dr. Kathrin Glau.

The research focuses on:
• Development of new computational methods for finance:
- Machine learning and numerical methods;
- Partial Differential Equations;
- Stochastic optimal control problems;
• Applications to pricing and risk management;
• The analysis of the reliability and efficiency of the new methods.

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.

The application procedure is described on the School website. For further inquiries please contact Dr Kathrin Glau at . This project is eligible for full funding, including support for 3.5 years’ study, additional funds for conference and research visits and funding for relevant IT needs. Applicants interested in the full funding will have to participate in a highly competitive selection process.

Funding Notes

This project is eligible for full funding, including support for 3.5 years’ study, additional funds for conference and research visits and funding for relevant IT needs.

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

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.

Related Subjects

How good is research at Queen Mary University of London in Mathematical Sciences?

FTE Category A staff submitted: 34.80

Research output data provided by the Research Excellence Framework (REF)

Click here to see the results for all UK universities

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