The research group in partial differential equations and interdisciplinary mathematics welcomes a postdoctoral fellow 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. A strong background 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. The research can contain theoretical as well as numerical components and strong candidates are welcome within any of the above fields. Stochastic game theory and optimal switching problems are important subjects in economics and finance and general optimal switching problems have many applications in energy markets, for production facility problems, for general resource extraction problems as well as for reversible investment problems. Concerning high frequency trading the research activities of the group are focused on market maker problems, optimal execution problems, order book modeling, price impact and the modeling of high frequency data.
The stipend is for two years and is financed by a grant from the research foundations of Handelsbanken.