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Australia: Postdoc Position in Math Finance and QMC at University of New South Wales

Applications are invited for a Post-Doctoral Fellowship at the University of New South Wales, Australia, located near Sydney’s southern beaches. The person appointed will report to Professor Ian Sloan in the School of Mathematics and Statistics, and work on a research project that combines mathematical and computational techniques for high-dimensional numerical integration with financial applications. The position is funded by an ARC Linkage grant to UNSW and Macquarie Bank, for the project ‘Novel Mathematical Technologies for Financial Valuation and Risk’. This is a fixed term 2-year position, available from January 19, 2008. The salary (in Australian dollars) is $60,826-65,060 (plus 17% employer superannuation and leave loading),
depending on experience and qualifications.

The main duties are to carry out mathematical analysis and computations for the above project; to liaise with Professor Ian Sloan on priorities and future plans for the research; to liaise with Macquarie Bank Chief Investigators on details of the project; to give oral reports and presentations to groups of Macquarie Bank staff, UNSW co-workers and others; and to prepare reports and papers for publication and conference presentation.

Essential selection criteria: PhD in a relevant discipline; proven research ability, as demonstrated by written research reports and published papers; understanding of quasi-Monte Carlo methods for multivariate problems; understanding of financial mathematics, especially option pricing; understanding of essentials of probability and stochastic processes; good programming skills, and good experience with at least one software system relevant to advanced computation, eg Matlab, C or Fortran; excellent oral and written communication skills. Desirable: Employment experience at the graduate level in a commercial environment.

The person appointed will be part of a strong research group, with excellent international links. For further information see:
http://www.hr.unsw.edu.au/services/recruitment/jobs/01060715.html

Applicants should systematically address the selection criteria in their application, and quote the reference number 5037NET.

Direct any enquiries to Professor Sloan by email, i.sloan[at]unsw.edu.au

Applications close: August 3, 2007
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