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.