Universiteit van Amsterdam, Korteweg - de Vries Institute for Mathematics

Position Title: Tenure Track Position Data Driven Mathematical Modelling and Computing in Finance
Position Type: Tenured/Tenure-track faculty
Position Location: Amsterdam, Noord-Holland 1091, Netherlands [map] sort by distance
Subject Area: Data Driven Mathematical Modelling and Computing in Finance
Application Deadline: 2023/01/31 11:59PMhelp popup (posted 2022/12/16, listed until 2023/04/21)
Position Description:   Remote  

Do you enjoy working in an interdisciplinary research setting at the interface between mathematical and computational finance and do you want to be active in a variety of educational programmes? The Institute for Informatics (IvI) and the Korteweg de Vries institute (KdVI) of the University of Amsterdam (UvA) are looking for a new colleague at the Assistant Professor level. This joint appointment will be part of the Computational Science Lab (CSL) and the Stochastics Group of the Faculty of Science of the UvA. Mathematical models and computational techniques are heavily used for pricing and risk management of financial instruments, such as derivative contracts, mortgages/loans and insurance products. In the past decades the field has seen a major change in particular after the credit crisis. Pricing and risk models became holistic with the need for an integrated view of market -, credit - and liquidity risk. This has introduced major challenges for both the mathematical modelling frameworks and computational techniques. For example, key issues are in the incorporation of systemic effects in pricing and risk models, their impact on financial stability and there is a growing need for efficient computational methods. More recently, the application of data-driven computational modelling including machine learning algorithms has seen a growing interest. Another interesting direction of research is the application of network and agent-based models and other approaches from statistical physics, a field known as econophysics. While good progress has been made, significant challenges remain in particular regarding explainability of ML algorithms, and there is still limited use of the econophysics based approaches in day-to-day practice. To further strengthen the Mathematical Modelling and Computational Finance research agenda and stimulate the interaction between the Computational Science Lab (CSL) of the Institute of Informatics (IvI) and the Mathematical Finance group of the Korteweg de Vries Institute (KDVI), we are extending with a tenure track position in the field of data driven methods for mathematical modelling and computing in finance with a special emphasis on these modern approaches. The research should benefit significantly from the large amounts of data that is becoming available, and has great potential for joint research projects with industry, and to evolve as an internationally recognized and leading theme with its foundations within IvI/KDVI and cross-collaboration with different research institutes such as Quantitative Economics, Artificial Intelligence (AI) and research programs from the business school and even social sciences. This position will be part of the AI4Fintech research program of the University of Amsterdam (UvA) which is composed of a financial risk and a non-financial risk theme. You are expected to assist in the coordination of the non-financial risk part of the program. Together with the staff members associated with this initiative, you will direct the program at scientific, strategic, and operational level.

We are not accepting applications for this job through Mathjobs.Org right now. Please apply at https://vacatures.uva.nl/UvA/job/Tenure-Track-Position-Data-Driven-Mathematical-Modelling-and-Computing-in-Finance/759802002/ .
Contact: Prof. Drona Kandhai, +316330861691
Postal Mail:
University of Amsterdam
Informatics Institute
P.O. Box 94323
1090 GH Amsterdam
Web Page: https://ivi.uva.nl/