Funded PhD Studentship: DTC MATH 45 - Simulation of SDEs with Singularity: solution to practical problems arising from mathematical finance and stochastic optimal control

Swansea University is a UK top 30 institution for research excellence (Research Excellence Framework 2014), and has been named Welsh University of the Year 2017 by The Times and Sunday Times Good University Guide.

Swansea Science DTC is a community committed to undertaking world-class research that has a positive impact globally and we have a fully-funded PhD scholarship for 2017/2018 entry.

Swansea Mathematics is rated as one of the Top 25 mathematics departments in the UK, and are within the top third in the world (QS World University Rankings 2015).

The Department of Mathematics places a strong emphasis on developing graduate employability and this is evidenced by the fact that 94% of our graduates are in full-time employment or further study within six months of graduating. Graduates have been employed by a wide range of organisations including: AXA, BA, Deutsche Bank, Shell Research, Health Authorities, Zurich Financial Services, Local Government and others.

Description:

In this project, we are interested in a class of SDEs with singularity, which have been considerably applied to mathematical finance, stochastic optimal control, etc. We develop new approaches to approximate and simulate these SDEs. As byproducts, we apply the theory established to solve practical problems arising from mathematical finance and stochastic optimal control.