The Department of Mathematics and Mathematical Statistics at Umeå University is opening a postdoctoral position in Financial Mathematics focusing on the pricing of commodity futures and options contracts in the context of seasonality. Last day to apply: August 15, 2022.
The appointment is for two years at the Department of Mathematics and Mathematical Statistics. The successful candidate is expected to take on the research question with enthusiasm and high ambitions, actively engage with collaborators, and to participate in the daily activities of the research environment. Starting date can be at Janury 1, 2023 with some flexibility (earlier or later is possible).
Project description and working tasks
Our investigation will build up on benchmark multi-factor models from the commodities futures pricing literature, but clearly distinguishing the different channels that can create seasonality, spot price and preferences. We will link the preference channel to utility-based determination of risk premia, using the well-known utility indifference pricing approach. There are two key elements that can (and need) to be implemented within this approach:
- time varying instantaneous risk-aversion
- non-wealth factors that affect investors utility (e.g. sentiments)
The pricing kernels obtained from this approach will be assessed against the pricing kernels of known multi-factor models. By doing so, some indication on which seasonal patterns may present market anomalies and arbitrages may be obtained. In the context of time varying instantaneous risk aversion there is scope here for deeper mathematical considerations involving the Malliavin calculus and time consistency issues.
In a further step, we investigate the possibility of market anomalies and arbitrages more directly. This will involve the concept of statistical arbitrage. Here there is scope for application of machine learning techniques.
The project offers opportunities for interdisciplinary collaborations with partners in the UK, Germany, Norway and the USA as well as links to the financial industry.
The successful applicant will be given an opportunity to develop a teaching portfolio contributing up to 20% of the total working time, but this is not a requirement.
Qualifications
To be appointed under the postdoctoral agreement, the postdoctoral fellow is required to have completed a doctoral degree or a foreign degree deemed equivalent to a doctoral degree. This qualification requirements must be fulfilled no later than at the time of the appointment decision. To be appointed under the postdoctoral agreement, priority should be given to candidates who completed their doctoral degree no later than three years prior. If there are special reasons, candidates who completed their doctoral degree prior to that may also be eligible. Special reasons include absence due to illness, parental leave, appointments of trust in trade union organisations, military service, or similar circumstances, as well as clinical practice or other forms of appointment/assignment relevant to the subject area. Postdoctoral fellows who are to teach or supervise must have taken relevant courses in teaching and learning in higher education.
Documented knowledge and proven experience in working with multifactor models in financial mathematics is required. Excellent programming skills in MATLAB and excellent communication skills in written and spoken English are also required. The research tasks require great independence, accuracy, and dedication. A track record of publication and experience in financial mathematics is a strong merit. Documented scientific momentum and the ability to work independently as well as part of a research group are merits. Experience of interdisciplinary research projects and cross-disciplinary collaboration, in particular within the specific application area, is an advantage.
Application
A complete application should include:
- A cover letter (2 pages max) describing yourself, your previous research achievements and your own ideas about the project.
- Curriculum vitae (CV) with publication list.
- Verified copy of doctoral degree certificate or documentation that clarifies when the degree of doctor is expected to be obtained.
- Verified copies of other diplomas, list of completed academic courses and grades.
- Copy of doctoral thesis and up to 3 relevant articles.
- Other documents that the applicant wishes to claim.
- Contact information to two persons willing to act as references.
The application must be written in English or Swedish. The application is made through our electronic recruitment system. Documents sent electronically must be in Word or PDF format. Log in to the system and apply via the button at the end of this page. The closing date is August 15, 2022.
More information
More information about the department:
https://www.umu.se/en/department-of-mathematics-and-mathematical-statistics/
Contact
Christian Ewald, professor
christian.ewald@umu.se,090-7867314
Åke Brännström, prefekt
ake.brannstrom@umu.se,090-7867862
Registration number
AN 2.2.1-1140-22
Union representative
SACO
090-7865365
SEKO
090-7865296
ST
090-7865431
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