---------- Forwarded message ----------
Date: Mon, 23 Feb 2004 16:51:07 -0500
From: Matheus Grasselli <grasselli(a)math.mcmaster.ca>
Subject: POSTDOCTORAL FELLOWSHIP IN FINANCIAL MATHEMATICS
Dear Colleagues
Tom Hurd and I are pleased to announce the following opening for a
Postdoc position within our group at McMaster University. We would
ask you to forward this message to any strong candidates you might
think would be interested in applying for it.
Best regards,
Matheus Grasselli
Assistant Professor and Sharcnet Chair in Financial Mathematics
Dept. of Math & Stats - McMaster University
grasselli(a)math.mcmaster.ca - 905 525 9140 x 23406
www.math.mcmaster.ca/grasselli
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POSTDOCTORAL FELLOWSHIP IN FINANCIAL MATHEMATICS
Applications are invited for a postdoctoral fellowship position in
financial mathematics in the Department of Mathematics & Statistics.
This fellowship provides an opportunity to spend up to two years
engaged in research, with a limited amount of teaching, and is
particularly suitable for a talented young mathematician who has
recently completed the Ph.D. degree.
McMaster University is located 65 km from downtown Toronto, the
financial heartland of Canada. The Department of Mathematics and
Statistics is home to PhiMAC, the Financial Mathematics Lab at
McMaster, a group of faculty, postdoctoral fellows and graduate
students working in financial mathematics (please see
http://www.math.mcmaster.ca/phimac/) for more information. The
appointee will be expected to participate in PhiMAC seminars and
meetings.
The Fellowship is open to candidates of any nationality and selection
will be based upon the candidate's research potential. McMaster is
committed to Employment Equity and encourages applications from all
qualified candidates, including aboriginal peoples, persons with
disabilities, members of visible minorities and women.
Starting July 1, 2004 or thereafter, the stipend will be CAD 40,000
per annum plus a CAD 2,000 grant per annum for research expenses.
Applications will be accepted until the position is filled.
Applications and three letters of reference should be sent immediately
to:
Dr. Matheus Grasselli and Dr. Tom Hurd
Mathematics & Statistics
McMaster University
Hamilton, Ontario
Canada, L8S 4K1
Matheus Grasselli
Assistant Professor and Sharcnet Chair in Financial Mathematics
Dept. of Math & Stats - McMaster University
grasselli(a)math.mcmaster.ca - 905 525 9140 x 23406
www.math.mcmaster.ca/grasselli
From: Mark Owen <mowen(a)ma.hw.ac.uk>
Dear colleague,
I would be very grateful if you could pass on on some information to
members of your department about a newly advertised RA position at the
department of Actuarial Mathematics and Statistics, Heriot-Watt
University.
This is a two year, EPSRC funded position, and would suit recent postdocs
with a background in financial mathematics, functional analysis or
stochastic analysis. More details can be found in the attached particulars
or on my homepage: http://www.ma.hw.ac.uk/~mowen/
Many thanks indeed,
Mark Owen.
--
Dr. Mark P. Owen,
School of Mathematical and Computer Sciences,
Scott Russell Building,
Heriot-Watt University, Riccarton,
Edinburgh EH14 4AS, Scotland.
School of Mathematical and Computer Sciences
Department of Actuarial Mathematics and Statistics
Post-Doctoral Research Fellowship in Financial Mathematics -
`Optimal investment in semimartingale markets for the writer of a
contingent claim'.
--
Further Particulars
Salary: £18,265 - £20,311
Applications are invited for a 24 month Post-Doctoral Fellowship in the
Department of Actuarial Mathematics and Statistics at Heriot-Watt
University, funded by the EPSRC. The pro ject will be concerned with the
existence of solutions to problems of optimal investment in general
semimartingale models of financial markets, using a combination of
martingale methods, convex duality, and functional analysis.
Applicants should have a PhD in either financial
mathematics, functional analysis or stochastic analysis. Due to the nature
of the pro ject, a background in functional analysis would be
advantageous. The candidate should have as a minimum, a basic knowledge
of financial mathematics and the desire to work in this field.
Opportunities are available for participation in international
conferences.
The aim of the project is to investigate optimal investment for an
economic agent who wishes to maximise their expected utility of wealth
from trading, in the framework of a general model of an incomplete
semimartingale financial market. It is proposed to treat
the case where the agent has written a European style contingent claim,
with possibly unbounded payoff. This would extend previous work by the
principal investigator, Dr M. Owen. One of the main goals of this pro ject
will be to formulate a tractable (dual) optimisation problem within a
locally convex topological vector space generated by pricing measures. In
addition to this, properties of the optimal terminal wealth will be
investigated, with the aim of relating it to an optimal wealth process or
an optimal trading strategy.
The Department of Actuarial Mathematics and Statistics is part of the
School of Mathematical and Computer Sciences at Heriot-Watt University.
The Department is one of the world's leading centres of research in
actuarial and financial mathematics, and was awarded Grade 5 in the 2001
Research Assessment Exercise.
Much useful information about the Department can be found in the Annual
Reports on our website at http://www.ma.hw.ac.uk/ams.html.
Further information is available from http://www.ma.hw.ac.uk/mowen/ or
from Dr M. Owen (Tel: +44-(0)131 451 4366, email: M.P.Owen(a)ma.hw.ac.uk).
It is expected that the Post-Doctoral Research Fellowship will start as
soon as possible after 1 April 2004.
For application details, please contact the Human Resources Office,
Heriot-Watt University, Edinburgh EH14 4AS, tel/fax +44-(0)131 451 3475
(24 hours), hr(a)hw.ac.uk, quoting Ref 31/04/J. Closing date: 12 March 2004.