University of Cambridge STATISTICAL LABORATORY

U.B.S. RESEARCH FELLOWSHIP
IN FINANCIAL MATHEMATICS

Applications are invited for a two-year post-doctoral research fellowship in financial mathematics at the Statistical Laboratory of the University of Cambridge, funded by the Union Bank of Switzerland (UBS). The position is associated with a collaboration between UBS, the Statistical Laboratory, and the Department of Mathematics of the Eidgenössiche Technische Hochschule, Zürich (ETH), and provides an excellent opportunity for candidates with an interest in the application of theory to the market environment. The research fellow is expected to be self-motivated, capable of developing and following an independent research agenda, and to contribute significantly to projects in collaboration with researchers at ETH and analysts at UBS. In order to facilitate this collaboration, the research fellow will be expected to spend some time at the London and Zürich offices of UBS.

It is expected that the person appointed will be a recent PhD with an outstanding record and direct research experience in financial mathematics or expertise in an appropriate area of applicable mathematics. The mathematical background of the fellow is likely to be in one, or more, of the following areas:

  1. probability theory and stochastic calculus;
  2. the statistical analysis of financial time series;
  3. mathematical modelling and applied probability;
  4. optimization and stochastic control theory;
  5. numerical methods for partial or stochastic differential equations.
The closing date for applications is 31 January 1998. Appicants should send a curriculum vitae and list of publications to The Director, Statistical Laboratory, University of Cambridge, 16 Mill Lane, Cambridge CB2 1SB, UK. The closing date for applications is 31 January 1998. Appicants should arrange for three referees (at least two of whom should be academic) to send letters of recommendation directly to the Director, to arrive by 7 February 1998.
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