October 21, 2012 - 10:35 — Anonymous

Organization:

Uppsala University, Department of mathematics

Email:

kaj.nystrom@math.uu.se

Job Description:

UFV-PA 2012/2595

The research group in partial differential equations and interdisciplinary mathematics welcomes a PhD student to pursue research within the activities of the group. Currently the group is involved in research concerning partial and stochastic differential equation and the group runs several applied projects devoted to high frequency trading and optimal switching problems. The group is looking for a PhD student interested in pursuing research on stochastic game theory and stochastic processes, connection to partial differential equation, either from a theoretical perspective and/or in applied financial contexts exemplified by option pricing, optimal switching problems and high frequency trading. One particularly interesting direction of research to pursue is the connection between games called tug-of-wars and non-linear partial differential equations, as well as potential applications in mathematical finance. Other research directions include high frequency trading with focus on market maker problems, optimal execution problems, order book modeling, price impact and the modeling of high frequency data. The position can take several directions depending on the interest of the student and the research can contain theoretical as well as numerical components. A strong interest in partial differential equations or stochastic analysis as well as an interest in mathematical finance, stochastic game theory, optimal switching problems and/or high frequency trading is ideal for the position. Strong candidates are welcome within any of the above fields.

Link: http://www.uu.se/jobb/phd-students/annonsvisning?tarContentId=213163&lan...

Job Categories:

Graduate student fellowships

Deadline for Application:

Nov 5 2012