EPSRC Maths CASE Studentship in Quantitative Finance
from October 2007 for three and a half years
Maxwell Institute for Mathematical Sciences, and
Barrie and Hibbert
The Maxwell Institute for Mathematical Sciences (www.maxwell.ac.uk) and
Edinburgh-based risk management consultancy firm Barrie and Hibbert
(www.barrhibb.com) have jointly been awarded a Maths CASE studentship,
commencing October 2007, by the EPRSC. The CASE research project will
involve development and application of semiparametric models in
Quantitative Finance. Of special interest is the deployment of these
techniques for improving the “best-estimate” (historic) calibration of
financial models to equity and other asset classes. The calibrated
models play an important part in asset and liability valuation when
deployed through an Economic Scenario Generator (essentially, a Monte
Carlo simulation engine).
The studentship awarded by the EPSRC pays the candidate’s full tuition
fees and, in addition, offers an annual maintenance grant of £15,100
p.a. for three and a half years. This includes a contribution made by
Barrie and Hibbert. Ideally the studentship will commence in October
2007. The essence of the EPRSC eligibility requirement is that students
must demonstrate a relevant long-term connection with the UK, usually
through being ordinarily resident in the UK for a period of at least 3
years immediately prior to the date of application for the award.
Applicants should already have, or be confident of obtaining, an
undergraduate and/or a Masters degree of a standard at least equivalent
to an Upper Second Class Honours degree from a UK university, in one of
the following areas: Actuarial and Financial Mathematics, Theoretical
and Applied Statistics and Probability. In the latter case, basic
knowledge of finance and/or insurance is desirable. An interest in
applying techniques developed to solve problems in Quantitative Finance
is essential. The successful candidate will be formally enrolled within
the Department of Actuarial Mathematics and Statistics at Heriot-Watt
University. The department maintains strong links with other departments
and research centres associated with the Maxwell Institute for
Mathematical Sciences. The studentship includes valuable work experience
through a minimum placement of 12 weeks per annum at Barrie & Hibbert.
To apply for this scholarship:
-- Download an application form at www.postgraduate.hw.ac.uk/apply/form.pdf
-- Fill this in. In the section headed "Financial Details", Question
14b, say you wish to be considered for the above CASE scholarship in
Quantitative Finance.
-- Send the application form to: Amanda Hearn, Maxwell Institute for
Mathematical Sciences, Earl Mountbatten Building, Heriot-Watt
University, Edinburgh EH 14 4AS, United Kingdom.
Informal inquiries related to PhD studies within the department should
be directed to Professor Howard Waters ([log in to unmask] ). For further
details about the project
contact Dr Yuanhua Feng ([log in to unmask]). For more information about
the business applications of the project contact Dr Rutang Thanawalla
([log in to unmask]).
The closing date is 15 August 2007.
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