Umeå University, Mathematics and Mathematical Statistics

Position ID: 2216-PHD2 [#20176]
Position Title: PhD position in Mathematics with focus on Matematical Finance and Economics
Position Type: Other
Position Location: Umea, Vasterbottens Lan 901 87, Sweden [map]
Subject Area: Mathematics with focus on Matematical Finance and Economics
Application Deadline: 2022/08/15 11:59PMhelp popup (posted 2022/06/23, listed until 2022/08/15)
Position Description:    

The Department of Mathematics and Mathematical Statistics is opening a PhD position in mathematics focusing on Financial Mathematics. The position involves four years of doctoral studies, including participation in research and postgraduate courses. The last day to apply is August 15th, 2022.

Project description and tasks:

This project looks at the valuation of real options in the presence of multiple agents and strategic competition; a framework often referred to as real option games. Classical literature argues that a strategic element in real options erodes the option value, leading to a suboptimal equilibrium. Some mechanisms that reduce this effect have been discussed recently, specifically information and noise by Lambrecht as well as complementarity and cooperation. However, in recent work the supervisor showed, that access to financial markets with specifically designed structured products can alter the decision making to move away from inefficient equilibria. In the context of this research proposal, we will build on a classical setup where companies compete for projects and make investment decisions accordingly and add a market in which shares and other derivatives products on the various companies are traded. We allow the companies to trade in these and run a portfolio alongside their own business. We will study the effects on equilibria and investigate applications in resource economics and corporate finance. The modelling will be undertaken preferably in continuous time, but some of the work may also require discrete-time modelling.

Professor Christian Ewald (christian.ewald@umu.se) provides more information about the position.

More information about the Department of Mathematics and Mathematical Statistics: https://www.umu.se/en/department-of-mathematics-and-mathematical-statistics/

Umeå offers excellent working and living conditions. The city is young and located right next to a large river. It is surrounded by forests and lakes and lies close by the sea. In the vicinity there are plenty of opportunities for both indoor and outdoor activities.

For further information and instructions on how to apply, see:

https://umu.varbi.com/en/what:job/jobID:524378/


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Contact: Christian Ewald
Email:
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Department of Mathematics and Mathematical Statistics
Umeå University
901 87 Umeå
Sweden
Web Page: https://www.umu.se/en/department-of-mathematics-and-mathematical-statistics/