2001-01-19

Heriot-Watt University, Edinburgh

Chair in Financial Mathematics

Applications are invited from persons with research interests in Financial Mathematics or a related discipline for the position of full Professor of Financial Mathematics in the Department of Actuarial Mathematics and Statistics at Heriot-Watt University, Edinburgh. This is a newly created position within the Department. It is intended that the person appointed will provide leadership for the thriving Financial Mathematics group within the Department and enhance its reputation as a leading centre of research in this field.

The person appointed will be expected to contribute to the Department's teaching activities in Financial Mathematics. In particular, there are established undergraduate and postgraduate degrees in Financial Mathematics, and it is anticipated that the new professor will contribute to the ongoing development of these courses.

The Department

The Department of Actuarial Mathematics and Statistics is internationally renowned both for its research and its teaching in Actuarial Science and Applied Probability. In addition, it has a growing reputation in Financial Mathematics through the activities of its financial maths group (Florin Avram, Andrew Cairns, Terence Chan, Anke Wiese and David Wilkie). Current teaching includes undergraduate and postgraduate courses in actuarial mathematics and statistics and occasional courses for continuing professional development. In addition, the highly-successful MSc course in Financial Mathematics (run jointly with the University of Edinburgh) is now complemented by a BSc degree in this field which commenced in October 2000.

The Department values highly its links with the business world. Staff are encouraged to develop contacts with professional, industrial, commercial, and research organisations as well as with other academics.

Edinburgh is the UK's second financial centre and the location of the headquarters of several major insurance companies (with substantial funds under management), banks, and investment companies. The medium size and geographical location of the city, together with the range of its cultural activities (which include the world-famous annual international arts festival), ensure that Edinburgh provides one of the highest qualities of life in the UK.

Research

Current research interests include:

Financial Mathematics:

• models for the term structure of interest rates;
• derivative pricing;
• application of Levy processes in Financial Mathematics;
• security pricing in incomplete markets;
• stochastic investment models;
• short and long-term risk management.

(See http://www.ma.hw.ac.uk/~andrewc/financialmaths/ for further details.)

Actuarial Mathematics:

• stochastic models in life insurance and pensions;
• the application of control theory in insurance;
• risk theory;
• the impact of genetic testing on insurance;
• permanent health insurance;
• mortality studies.

Probability and Statistics:

• stochastic networks, with applications to communications networks;
• probability and algorithms;
• Epidemic modelling;
• stochastic population modelling;
• stochastic partial differential equations;
• applied statistics, with applications to engineering and biology;
• environmental statistics;
• design of experiments.

The department is able to provide generous support for participation in international conferences and workshops.

Teaching

Current teaching in the Department includes:

• postgraduate courses for the MSc in Financial Mathematics;
• postgraduate courses for the MSc in Actuarial Science;
• undergraduate courses for the Honours degrees in Actuarial Mathematics & Statistics, Financial Mathematics, and Statistics;
• part-time courses for actuarial trainees from local companies;
• courses in overseas countries with developing actuarial professions.

Job Qualifications

Applicants should have:

• an outstanding research record in an appropriate area of financial mathematics, financial economics, econometrics or mathematical economics;
• a commitment to excellence in teaching.

The person appointed will be expected to:

• contribute to the Department's teaching activities in financial mathematics including their ongoing development;
• carry out high-quality research in a relevant branch of financial mathematics or a related field.

The anticipated starting date is 3 September 2001 or as soon as is convenient thereafter.

Persons wishing to discuss these opportunities informally and in confidence may contact either:

John McCutcheon (Head of Department), (0131 451 3202) (e-mail J.J.McCutcheon@ma.hw.ac.uk ),
Angus Macdonald, (0131 451 3202) (e-mail A.S.Macdonald@ma.hw.ac.uk ).
or
Andrew Cairns, (0131 451 3202) (e-mail A.Cairns@ma.hw.ac.uk ).

Application forms and further information may be obtained from:
The Personnel Office, Heriot-Watt University, Riccarton,
Edinburgh, EH14 4AS, UK, or phone 0131 451 3475 (24 hours)
or e-mail personnel@hw.ac.uk .
Please quote job reference 06/01/VL.

The closing date for applications is 6 April, 2001.

It is likely that interviews will be held during the second half of May, 2001.