The School of Mathematical Sciences of Queen Mary University of London invite applications for a PhD project commencing in September 2022.
Financial risk management, trading and hedging requires banks and other financial institutions to perform highly complex simulations of their future portfolio, under realistic market conditions. The high complexity and interdependence of market participants and thus prices of financial products makes the problem high dimensional and computationally intense. Having learned from the financial crisis 2008-2009 that underestimating the likelyhood of large losses as well as ignoring interdependencies through counterparty credit risk, for instance, has ruled out the use of simple stylised internal models for critical tasks such as capital requirements and margin contributions. In this research project we will contribute to the efficient computation arising in risk assessment, which allows for fat tail distribution and more realistic dependence structures. Based on the expertise in both financial modelling and numerical analysis, we will guarantee that the model complexity is aligned with the computational complexity without resorting to ad hoc simplifications, and with guaranteed error bounds.
Core of the project is the combination of Chebyshev interpolation, deep learning, low rank tensor approximation, modelling with stochastic processes with jumps to solve the dynamical systems arising in risk management in two different guises: as partial (integro) differential equations and as stochastic differential equations. In the project we specifically build on the following publication: Glau, K.; Mahlstedt, M.; Pötz, C.: A new approach for American option pricing: The Dynamic Chebyshev method (Open Access). SIAM Journal on Scientific Computing, 2019 41(1), B153-B180
We are looking for a PhD student with strong mathematical background in theory and coding (with a level having very successfully passed a master in mathematics or equivalent).
Some clearly stated initial projects will allow the PhD student to immediately contribute to advancing the research in the field while learning the methodologies and applications we consider. The project is also wide enough so that the PhD student will be able to develop an own focus, contributing to the theoretical analysis, the implementation, the application or to an industrial collaboration.
The application procedure is described on the School webpage: www.qmul.ac.uk/maths/postgraduate/postgraduate-research/application-process/. For further inquiries please contact [Email Address Removed]. This project is eligible for full funding through QMUL Principal's Postgraduate Research Studentships. Studentships will cover tuition fees, and a stipend at standard rates for 3-3.5 years, additional funds for conference and research visits and funding for relevant IT needs. Applicants will have to participate in a highly competitive selection process. 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.
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