Ph.D. Student in Mathematical Finance / Financial Risk Modelling
Financial and Actuarial Mathematics,
We are looking for a Ph.D. student for the broad areas of credit risk models, credit derivatives or general dependence modelling in risk management. The position is in the Christian Doppler Laboratory on Portfolio Risk Management (PRisMa Lab). The laboratory is located within the research group for financial and actuarial mathematics at the Vienna University of Technology, it is headed by Prof. Uwe Schmock. The laboratory is funded by the Christian Doppler Research Association, which is a non-profit association aiming to promote high-quality research, development and knowledge transfer in Austria. The research is carried out jointly with the Bank Austria, the Austrian Federal Financing Agency (ÖBFA) and COR & FJA. Your main area of activity is expected to be high-quality research in modelling, pricing, and hedging counterparty credit exposure, in particular joint modelling of the dependence of market dynamics and default mechanisms, scaling behaviour of volatilities and correlations, integration of historical and market implied data, and development of efficient numerical algorithms for portfolios with complex products, always with a view towards practical applicability.
We offer you to work on the forefront of current mathematical research, within a highly active and distinguished research group (Prof. Uwe Schmock, Dr. Stefan Gerhold, Prof. Peter Grandits, Prof. Friedrich Hubalek, Dr. Reinhold Kainhofer), and in close cooperation with the specialists of our financial industry partners. We expect you to have a Masters degree (or equivalent) in mathematics and some background in mathematical finance, programming (with R, Matlab, Mathematica, C or C++), numerical mathematics and typesetting with LaTeX.
There are no teaching duties associated with these positions. The planned starting date is as soon as possible (preferrably beginning of March/April), but flexible. The salaries for the position are based on the FWF guidelines. We strongly encourage applications of female candidates.
Your application has to be in English or German and must arrive before February 24, 2011, for full consideration.
Send your application to the office address firstname.lastname@example.org. Please join all your attached documents into a single file if possible.
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