Research Fellow (81217-117)

University of Warwick - Department of Statistics

Fixed term contract for 9 months

Markov-functional models constitute a form of interest rate model and are attractive to practitioners because of their efficiency and ability to calibrate to a variety of market instruments. The widespread use of Markov-functional models in the banking industry was the basis for a successful impact case in the last REF period.

The purpose of this research is to enable coding and development, develop and code of a recent extension of the Markov-functional model to the cross-currency setting and to carry out a publishable study of its effectiveness in pricing products of widespread interest in the banking industry.

Applicants should hold a PhD in Mathematical finance, probability theory (or related field) and have programming experience ideally in C++. If the applicant has not yet been awarded a PhD any offers of employment will be made as Research Assistant on level 5 of the University grade structure (£28,936). Upon successful award of a PhD the post holder will be promoted to Research Fellow on the first point of the level 6 of the University grade structure (£29,799).

Start date will be agreed with the appointed candidate.

Informal enquiries can be addressed to Dr Jo Kennedy (j.e.kennedy@warwick.ac.uk).

Your application should include a CV and list of publications. You should ensure that your 3 referees send their references by email to Paula.Matthews@warwick.ac.uk (Departmental Administrator, Statistics, University of Warwick) by the closing date.

Full details of the duties and selection criteria for this role are found in the vacancy advert on the University of Warwick jobs page. You will be routed to this when you click on the Apply button below.

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Midlands of England