EPSRC Maths CASE Studentship in Quantitative Finance 2008

The Maxwell Institute for Mathematical Sciences (www.maxwell.ac.uk) and 
Barrie and Hibbert (www.barrhibb.com) have jointly been awarded a Maths 
CASE studentship by the EPRSC to commence as early as possible in 2008.


Barrie & Hibbert is a leading provider of market risk management models 
and consultancy to global financial institutions and places a high value 
on research. Over the past decade the Barrie & Hibbert Economic Scenario 
Generator has emerged as the leading asset modelling solution for the 
global insurance sector.

The CASE research project represents a unique opportunity for a suitably 
qualified student to develop semiparametric statistical modelling 
techniques in quantitative finance and study their potential deployment 
in the Barrie & Hibbert Economic Scenario Generator as tools for 
improving the calibration of financial models to equity and other asset 
classes. Calibration of credit risk models using semiparametric 
procedures also falls within the potential scope of the project. The 
Economic Scenario Generator is a Monte Carlo simulation engine that is 
widely used by insurers and pension funds in asset and liability 
valuation in an enterprise risk management context.

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. The essence of the EPRSC eligibility requirement for 
the full award is that students must demonstrate a relevant long-term 
connection to the UK, usually through being ordinarily resident in the 
UK for a period of at least 3 years prior to application, and having 
settled status in the UK either through UK or EU citizenship or having 
indefinite leave to remain in the UK.

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 a 
mathematics-based subject with a large component of probability and/or 
statistics. A basic knowledge of finance and/or insurance is also 
desirable and 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 work experience through a minimum placement of 12 weeks per 
annum in the Edinburgh office of Barrie & Hibbert, affording a unique 
opportunity to gain practical experience of the application of 
quantitative finance models and offering an invaluable start to a 
successful career in the area.


To apply for this scholarship, download and fill in the application form 
at: www.postgraduate.hw.ac.uk/apply/form.pdf
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.

The PhD project will be supervised by Dr Yuanhua Feng 
([log in to unmask]) and Professor Alexander J McNeil 
([log in to unmask]). For more information about business applications 
of the project contact Dr Jamie Stark ([log in to unmask]).



There is no formal closing date and applications will be considered 
until the position is filled.