PhD Position in Improving Machine Learning Methods for Contingent Claim Pricing and Hedging

Updated: 24 days ago
Deadline: ;

The Stochastics group at the Korteweg de Vries Institute at the University of Amsterdam and the Actuarial Science and Mathematical Finance group at the Amsterdam School of Economics are pleased to announce a joint open PhD position in Improving Machine Learning Methods for Contingent Claim Pricing and Hedging. 

The project will focus on, but will not necessarily be limited to, a promising relatively new mathematical characterization of uncertainty in financial time series (using the sequences of iterated integrals known as signatures) and a particular application for which classical modelling tools seem particularly hard to apply (the infinite-dimensional structure in forward prices for energy markets). We expect that insights for this particular theoretical method and practical problem may also help to design improvements for other applications of machine learning in the financial context, such as the generation of stochastic scenarios used in risk management for insurance companies and trading strategies that use derivatives to hedge payoffs of other exotic derivatives (such as forward prices in energy markets and) regime switching in stochastic modelling of asset prices.

For this project the PhD student needs a strong theoretical and computational background (e.g. functional analysis, measure theoretic probability, mathematics of Machine Learning, mathematical and computational finance) and she/he also needs to be genuinely interested in real world applications. For the project to be a success, input will be required on the development of new mathematical theory, on the efficient implementation of new models, and on the practical side of financial markets.

What are you going to do?

As a PhD candidate you will:

  • Engage in the development of new mathematical theory to characterize signals (such as, for example, path signatures) and the applications of such methods in mathematical finance (such as forward prices in energy markets, regime switching models or models for  time-series data that can be exploited in machine learning tasks),
  • Develop and implement efficient  computational methods to characterize important features of observed financial data and use it for pricing and hedging or other optimal control problems in, for example, financial and energy markets,
  • Collaborate with a team of experts in fields such as stochastic analysis, statistics, finance and computational science,
  • Participate in interdisciplinary projects that aim to address real-world challenges in finance,
  • Contribute to academic publications and present your findings at international conferences and seminars,
  • Actively participate in the department’s educational programs, possibly including the supervision of undergraduate or master’s level students,
  • Complete and defend a PhD thesis within the official appointment duration of four years.

Your profile

We are looking for an enthusiastic and driven candidate who meets the following requirements:

  • Educational Background: You should have a Master's degree in a field relevant to the position, such as Mathematics, Financial Mathematics, Statistics, or a related discipline.
  • Experience: Experience in working with stochastic processes, stochastic models, computational methods and statistical analysis is required, as, e.g., proven by a Master’s thesis in this field.
  • Analytical and Problem-Solving Skills: You should have excellent analytical abilities and a problem-solving mindset, with the capacity to work on complex financial models, computational methods and data sets.
  • Interest in real world applications.: You should have a genuine interest in real world applications, as, e.g., proven by a master’s thesis or an Internship in a company.
  • Communication Skills: Strong written and verbal communication skills are required. You should be able to articulate your research findings effectively to both academic and non-academic audiences. Proficiency in English is required.
  • Teamwork and Independence: You should be highly motivated, committed to your research, and have a passion for academic excellence. While you should be able to work independently, you must also be a good team player, ready to collaborate with other researchers and contribute to joint projects.

Our offer

A temporary contract for 38 hours per week for the duration of 4 years (the initial contract will be for a period of 18 months and after satisfactory evaluation it will be extended for a total duration of 4 years). The preferred starting date is 1 September 2024. This should lead to a dissertation (PhD thesis). We will draft an educational plan that includes attendance of courses and (international) meetings. We also expect you to assist in teaching undergraduates and master students.

The salary, will be € 2,770 in the first year to € 3,539 in the last year (scale P) gross per month, based on a fulltime contract (38 hours a week). This is exclusive 8% holiday allowance and 8.3% end-of-year bonus. A favourable tax agreement, the ‘30% ruling’, may apply to non-Dutch applicants. The Collective Labour Agreement of Dutch Universities  is applicable.

Besides the salary and a vibrant and challenging environment at Science Park we offer you multiple fringe benefits:

  • 232 holiday hours per year (based on fulltime) and extra holidays between Christmas and 1 January;
  • multiple courses to follow from our Teaching and Learning Centre;
  • a complete educational program for PhD students;
  • multiple courses on topics such as leadership for academic staff;
  • multiple courses on topics such as time management, handling stress and an online learning platform with 100+ different courses;
  • 7 weeks birth leave (partner leave) with 100% salary;
  • partly paid parental leave;
  • the possibility to set up a workplace at home;
  • a pension at ABP for which UvA pays two third part of the contribution;
  • the possibility to follow courses to learn Dutch;
  • help with housing for a studio or small apartment when you’re moving from abroad.

Are you curious to read more about our extensive package of secondary employment benefits, take a look here .

About us

The University of Amsterdam is the Netherlands' largest university, offering the widest range of academic programmes. At the UvA, 30,000 students, 6,000 staff members and 3,000 PhD candidates study and work in a diverse range of fields, connected by a culture of curiosity.

The Faculty of Science has a student body of around 8,000, as well as 1,800 members of staff working in education, research or support services. Researchers and students at the Faculty of Science are fascinated by every aspect of how the world works, be it elementary particles, the birth of the universe or the functioning of the brain.

The

Faculty of Economics and Business   at the UvA provides academic courses for more than 5,000 students and conducts research programs in many specialist areas employing about 400 people. The FEB has an internationally acclaimed profile and is located in the heart of Amsterdam. FEB consists of the Amsterdam Business School and the Amsterdam School of Economics (ASE). ASE is among the top economics research institutes in Europe.


Institutes/Departments

The PhD position is part of a joint research project of the Stochastics group at the Korteweg de Vries Institute at the University of Amsterdam and the Actuarial Science and Mathematical Finance group at the Amsterdam School of Economics of the University of Amsterdam.

The Korteweg-de Vries Institute for Mathematics

The Korteweg-de Vries Instituut voor Wiskunde (KdV Institute) is the mathematical research institute of the Faculty of Science of the Universiteit van Amsterdam. The KdV Institute offers a stimulating scientific environment in which research focuses mainly within the research programmes (1) Algebra, Geometry and Mathematical Physics, (2) Pure, Applied and Numerical Analysis, and (3) Stochastics. It also provides the lecturers and instructors for the mathematics teaching within the Science faculty. The KdV Institute participates in the NWO research clusters GQT, STAR, NDNS+ and DIAMANT and in the Gravity programme NETWORKS. There is cooperation with the Centrum Wiskunde & Informatica (CWI), the VU University, and with Eurandom in Eindhoven. KdVI counts about 30 staff members and 40 postdocs and PhD students.

The stochastics research programme of the KdVI covers a variety of topics in stochastics, and excels in application-oriented research with a solid theoretical foundation. Particular research topics of interest are stochastic operations research (De Boer, Dorsman, Nunez Queija), stochastic analysis and financial mathematics (Cox, Kandhai, Karbach, Khedher, de Vilder, Winands,), and statistics and machine learning (van Erven, Mooij, Musta, Pijpers, Sjerps). The stochastics programme fosters collaborations with a diverse range of partners in industry, societal organisations and within the University of Amsterdam (TNO, booking.com, ABN AMRO, ING, Rabobank, CBS, NFI, AI4finTech, AI4Science).

The stochastics progamme of the KdVI participates in several initiatives of the Faculty of Science and the University of Amsterdam. For instance, we participate in AI4finTech , a research community dedicated to bringing together research expertise in AI and financial mathematics. We are also involved in AI4Science , a multi-disciplinary initiative of the Faculty of Science to use and develop AI for scientific research purposes. The successful master programme Stochastics and Financial Mathematics is offered by the KdVI in close collaboration with the Informatics Institute (IvI) of the Faculty of Science.

Many important activities in stochastics are organized on a national level in the Netherlands. We are actively involved in these national efforts, for instance through the national research cluster STAR, one of the four mathematics clusters funded by the national science foundation NWO, and various national seminar series such as the Mark Kac seminar. We also contribute to the national programme Mastermath by offering courses on stochastics on a master and PhD level, and to the national programme of the Dutch Network on the Mathematics of Operations Research (LNMB).

The Actuarial Science and Mathematical Finance Group

The research programme of the Actuarial Science and Mathematical Finance group concerns both theoretical and applied questions in quantitative risk management for financial. Increasing uncertainty in financial markets has complicated asset and liability management over long horizons and modern risk management has become more complex as a result of the global interdependency of risk factors and new regulatory constraints. Researchers in the group work on these problems, based on the strong belief that these and other challenges require the development of new modelling approaches, that are based on the most recent insights in mathematics, statistics and data science.

The ASMF group is part of the Quantitative Economics section in ASE, which covers three different research programs: Actuarial Science & Mathematical Finance; Econometrics; and Equilibrium, Expectations & Dynamics. The Quantitative Economics section is responsible for teaching all mathematics and quantitative economics related courses at the BSc and MSc level. The section also actively participates in the teaching and research activities of the Tinbergen Institute , the graduate school of ASE and the Bachelor and Master programmes in actuarial sciences of the university.

Members of the research programme also participate the Amsterdam Centre of Excellence in Risk and Macro Finance and scientific networks outside the University of Amsterdam such as AMaMeF , Eurandom , and Netspar .

Want to know more about our organisation? Read more about working at the University of Amsterdam.

Any questions?

Do you have any questions or do you require additional information? Please contact:

Job application

If you feel the profile fits you, and you are interested in the job, we look forward to receiving your application. You can apply online via the button below. We accept applications until and including 07 June 2024.

Applications should include the following information (all files besides your cv should be submitted in one single pdf file):

  • a detailed CV including the months (not just years) when referring to your education and work experience;
  • a letter of motivation;
  • a list of publications;
  • the name and contact details (including email address) of two referees who can provide details about your profile (one of whom should be the main supervisor of your Master thesis).
  • a copy of your Master’s thesis (when available);
  • a list of all university courses taken, including a transcript of grades;

A knowledge security check can be part of the selection procedure.
(for details:
national knowledge security guidelines )

Only complete applications received within the response period via the link below will be considered.

The interviews will be held in the course of months June and beginning of July.

Studies show that women and members of underrepresented groups only apply for jobs if they meet 100% of the qualifications. Do you meet the educational requirements but do not yet have all the required experience? Then the UvA encourages you to apply anyway.

No agencies please.



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