Parametric Complexity Reduction in Finance

The School of Mathematical Sciences of Queen Mary University of London invite applications for a PhD project commencing either in September 2020 for students seeking funding, or in January 2020 or April 2020 for self-funded students. The deadline for funded applications is the 31st of January 2020. The deadline for China Scholarship Council Scheme applications is 12th January 2020.

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.

The application procedure is described on the School website. For further inquiries please contact Dr Kathrin Glau at [email protected]. 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.