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Tenure Track position Data Driven Modelling in Computational Finance

Research / Academic
Amsterdam

Computational finance is primarily focussing on the development of computational models and the formulation of highly efficient numerical methods for pricing and risk management of financial instruments, such as derivative contracts, mortgages/loans and insurance products.  While good progress has been made in this field in the past decade, significant challenges are ahead in particular as a consequence of the recent credit crisis. One of the key issues remains the incorporation of systemic effects in pricing and risk models. More recently, the application of data-driven computational modelling has seen a growing interest for non-financial risk as well. Examples include fraud analytics, criminal networks and KYC (Know Your Customer).

To further strengthen the Computational Finance research agenda and stimulate the interaction between the Computational Science Lab and the Amsterdam Machine Learning Lab of IvI and the Mathematical Finance and Quantitative Economics groups at UvA, we are extending with a tenure track position in the field of data driven methods for Pricing, Stability and Non-Financial Risk by means of a combination of System Dynamics, Agent Based/Network Theory and (Explainable) AI Methods.

The research should benefit significantly from the large amounts of data that is becoming available. This research has great potential for joint research projects with industry and to evolve as an internationally recognized and leading theme with its foundations within IvI and cross-collaboration with different research institutes such as mathematics, economics and business and even social sciences. Joint appointments with industry are possible.

What are you going to do?

 You will:

  • be active in the fundamental and/or applied research of our Computational Finance research theme with cross collaboration with AI and Mathematical Finance research groups;
  • publish in high level international journals, presenting at leading conferences and supervising PhD students;
  • take part in the teaching effort of the group, including supervision of bachelor and master students;
  • be active in the attraction of external funding;
  • be open to collaborations with other institutes and/or companies by contributing expertise to (joint) research projects.

We will base our selection on your scientific track record and on your vision for future research, as well as on your teaching achievement, qualifications, and vision for future teaching.

Requirements:

  • A PhD in Computational Science, Mathematics, Quantitative Economics or a closely related field;
  • a strong scientific expertise reflected among others by publications in respectable international journals;
  • a demonstrated dedication to teaching at the undergraduate and graduate levels;
  • enthusiasm about and the willingness to be active in the attraction of external funding;
  • the willingness to contribute to valorisation efforts and to foster collaborations with other academic institutes and industry;
  • to display the ability and capacity to develop independent and vigorous programmes of funded research;
  • fluency in English, both written and spoken and the willingness to learn Dutch.

Salary Benefits:

Our offer

We offer a temporary contract for 38 hours per week with tenure track, with start dates somewhere in October 2020 to January 2021 (ideally) for the duration of five years. You will be offered a permanent position after positive assessment and evaluation.

The salary, depending on relevant experience before the beginning of the employment contract, will be  €3,637 to €4,978 (scale 11) gross per month, based on 38 hours a week. These amounts are 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.

Are you curious about our extensive package of secondary employment benefits like our excellent opportunities for study and development? Then find out more about working at the Faculty of Science.

Work Hours:

38 hours per week

Address:

Science Park 904