Dear All

 

I would like to draw your attention to the following opportunity.

 

This position will involve working with Professor Mike Giles (Risk Quant of
the Year 2007).  The project will focus on the use of Monte Carlo methods,
which have become widely used in the finance industry in areas such as the
pricing of derivative products and risk management.  A critical factor in
the application of these methods is the time taken to compute results, when
decisions must be taken in fast-moving markets.  Recent research has shown
that new algorithmic approaches can bring substantial gains in efficiency.
At the same time, the architecture of computer graphics cards is
particularly suited to their implementation.  By making this appointment we
are seeking to exploit these opportunities to create a product which sets a
new industry standard.

 

Best regards

Robert Leese

 

 

NAG Ltd / Smith Institute - KNOWLEDGE TRANSFER PARTNERSHIP

 

Numerical software developer for finance

 

Background

 

The Numerical Algorithms Group Ltd (NAG) is a leading provider of numerical
software components to

a diverse range of industries worldwide. Since its foundation in 1970, and
its development of the first

numerical software library, it has been at the forefront of research and
innovation in the area of

mathematical computing. An important market for the company’s software is
the finance sector and the

project outlined here will translate new thinking in numerical algorithms
for financial simulation into a

viable product for banks and other clients. The Smith Institute connects
industry and the science base to

create commercial benefit from mathematical modelling. It manages the UK’s
Knowledge Transfer

Network for Industrial Mathematics, which is currently developing new
initiatives in the finance

industry.

 

The Project

 

A talented graduate is sought to fill a central role in the development of
new software products for the

finance industry. The post offers a unique opportunity to apply cutting edge
research in numerical

algorithms to the requirements of financial markets. It will incorporate
active involvement with academic

researchers as well as with clients in financial institutions. The
objectives are to:

 

§  take recent research in the area of financial simulation as the basis for
an innovative new product;

§  build contacts with financial institutions to further improve product
function and design;

§  create an implementation of the chosen algorithms on specific hardware
platforms;

§  take the production process through testing and quality assurance to
promotion and marketing;

§  evaluate future market potential based on the experience gained.

 

The project will last for 2 years. It will be based at NAG in Oxford, and be
carried out under joint

supervision with the Smith Institute.

 

The Requirement

 

The successful candidate will possess a first degree with a strong
mathematical content together with

postgraduate experience to PhD level in financial mathematics, preferably in
the area of stochastic

processes as applied to financial derivatives or risk management. In
addition, some familiarity with

computer programming languages is needed. It is also important that the
candidate has a keen interest in

the role that software plays in present day financial markets.

 

A flexible approach to working practices and hours is essential, since the
role will include visits to clients

and interaction with existing company production teams. Strong communication
skills are also necessary

since an important part of the role is to publicise results through verbal
presentations and written reports.

 

The salary will be competitive to reflect the successful candidate's
qualifications and experience and will

be in the range £29,300 - £34,294.

 

Candidates should apply in writing to: Gillian Hoyle, Smith Institute,
Surrey Technology Centre,

Guildford GU2 7YG, or by email to [log in to unmask], enclosing a
full CV with the names

and addresses of two referees, and quoting reference SI/NAG. Further
information about NAG may be

found at www.nag.co.uk, about the Smith Institute at www.smithinst.co.uk,
and about the Knowledge

Transfer Network for Industrial Mathematics at www.industrialmaths.net.

 

The closing date for applications is Friday 17 October 2008.

 

 

Dr Robert Leese

Director, Smith Institute for Industrial Mathematics and System Engineering

Surrey Technology Centre, Surrey Research Park, Guildford GU2 7YG

Office: 01483-579108, Direct: 01865-271698, Mobile: 07967-651129

Web:  <http://www.smithinst.co.uk> www.smithinst.co.uk