CEMAPRE - Centre for Applied Mathematics and Economics, ISEG, Technical University of Lisbon, Portugal
Marie Curie ITN Project: STRIKE - Novel Methods in Computational Finance
Early Stage Researcher (ESR): PhD fellowship, 1 position available
1. Tasks and methodology: problem of existence of weak and viscosity solutions for parabolic PIDEs related with option pricing in financial models based on exponential Lévy processes; efficiency of numerical schemes for solving such PIDEs.
2. Results: existence of weak and discontinuous viscosity solutions and related comparison principles which allow the construction of appropriate and efficient numerical schemes.
The fellow to be recruited by the Technical University of Lisbon will be employed with full social security coverage and all benefits in accordance with Marie Curie ITN fellowships regulations (highly competitive remuneration plus allowances for living and mobility expenses). As an Early Stage Researcher the applicant will register to read for a PhD of the Mathematics Department of ISEG, Technical University of Lisbon. The duration of the fellowship is 36 months.