Financial and Actuarial Mathematics  
at Vienna University of Technology, Austria  


PhD student and PostDoc

Financial and Actuarial Mathematics
Institute for Mathematical Methods in Economics
Vienna University of Technology

We are looking for a PhD student and a PostDoc or PhD student for the research project "Robust Calibration of Jump-Type Asset Price Models" granted by the Austrian Science Foundation (FWF).

Your main area of activity will be the numerical as well as theoretical treatment of jump-type assed price models (Levy processes).

We offer you to work on the forefront of current mathematical research, within a highly active and distinguished research group. We expect from you a strong background in financial modeling and stochastic processes (preferrably Levy models). You should also have fundamental knowledge of numerical methods, ideally with experience in model calibration.
Nevertheless, a high motivation and a strong desire to learn and adapt new material can fill almost any gap you might have in the requirements above.

There are no teaching duties associated with these positions. The start date is flexible, the duration of the project will be two years, and the salary is based on the FWF guidelines.

Applications should be returned to Dr. Kainhofer by April 10, 2005.

Reinhold Kainhofer (http://reinhold.kainhofer.com/)
reinhold@kainhofer.com or reinhold@fam.tuwien.ac.at

Standard Mail:
Dr. Reinhold Kainhofer
Financial and Actuarial Mathematics
Vienna University of Technology
Wiedner Hauptstraße 8-10/105-1
A-1040 Vienna

URL: http://www.fam.tuwien.ac.at/ (department)
http://reinhold.kainhofer.com/ (R. Kainhofer)

Candidates must already be authorized to work in the EU. We strongly encourage applications of female candidates. In case of equal qualification, handicapped applicants are given preference.

About the department:
The research unit "financial and actuarial mathematics" (FAM) at the Vienna University of Technology employs 2 full professors (Prof. Schachermayer, Prof. Schmock) and five associate and assistant professors (Grandits, Teichmann, Hubalek, Leitner, Kainhofer). Several PostDocs and PhD students are also employed by various research projects. The main research areas are utility optimization, interest rate theory, Levy processes, credit risk, numerical finance, and ruin theory.