Imperial College London, Department of Mathematics

Position ID: 434-RA3 [#19121]
Position Title: Research Associate in Mathematics x2
Position Location: London, London, United Kingdom [map]
Subject Area: Mathematics
Application Deadline: 2021/12/14 11:59PMhelp popup (posted 2021/11/26, listed until 2021/12/14)
Position Description:    

*** the list date or deadline for this position has passed. ***

Research Associate in Mathematics x2

Mathematical Finance Section, Department of Mathematics, Faculty of Natural Sciences

Location: South Kensington Campus

Salary Range: £41,593- £45,234 per annum

Job Summary

Applications are invited for two Research Associate positions in the Department of Mathematics at Imperial College London. The positions are funded by the Engineering and Physical Sciences Research Council grant EP/T032146/1 (Rough Volatility: A Trojan horse into modern Financial computing) and will involve the development and analysis of rough volatility models in quantitative finance.

Duties and Responsibilities

The project will study pricing and hedging in rough volatility models. This wide scope can take several directions, including numerical schemes for Monte Carlo and trees, deep learning techniques for path-dependent PDEs and large and moderate deviations methods.

Essential Requirements

The essential requirements for this post are as follow:

• Research Associate: Hold a PhD in Stochastic analysis, SPDEs, Deep Learning, Numerical Analysis, Quantum Computing or equivalent level of professional qualification • Research Assistant: Near completion of a PhD in Stochastic analysis, SPDEs, Deep Learning, Numerical Analysis, Quantum Computing or equivalent level of professional qualification • Experience in stochastic analysis or numerical analysis • Coding skills are not required but preferred • Ability to carry out original research and to produce published research papers • Ability to identify, develop and apply new concepts, techniques and methods • Ability to keep accurate records of research results and activity

Further Information

The positions are full time and fixed term for 12 months and 24 months, based at South Kensington Campus. The expected start date is 4 January 2022 or soon thereafter.

*Candidates who have not yet been officially awarded their PhD will be appointed as Research Assistant within the salary range, £36,694- £39,888 per annum.

In addition to completing the online application, candidates should attach:

• A full CV, • A 1-page research statement describing why the candidate’s expertise is relevant to this position and future research plans; and • The details of three referees.

For any specific queries regarding the post please contact Dr Antoine Jacquier -

The College is a proud signatory to the San-Francisco Declaration on Research Assessment (DORA), which means that in hiring and promotion decisions, we evaluate applicants on the quality of their work, not the journal impact factor where it is published. For more information, see

The College believes that the use of animals in research is vital to improve human and animal health and welfare. Animals may only be used in research programmes where their use is shown to be necessary for developing new treatments and making medical advances. Imperial is committed to ensuring that, in cases where this research is deemed essential, all animals in the College’s care are treated with full respect, and that all staff involved with this work show due consideration at every level.

We are committed to equality of opportunity, to eliminating discrimination and to creating an inclusive working environment for all. We therefore encourage candidates to apply irrespective of age, disability, marriage or civil partnership status, pregnancy or maternity, race, religion and belief, gender identity, sex, or sexual orientation. We are an Athena SWAN Silver Award winner, a Disability Confident Leader and a Stonewall Diversity Champion.

Closing date: 14/12/2021

To apply, visit and search by the job reference NAT01044.

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