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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 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, and also manages the UK’s Knowledge Transfer Network for Industrial Mathematics. 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 for GPUs 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 21 months. It will be based at NAG in Oxford, and be carried out under joint supervision with the Smith Institute and Prof Mike Giles. The Opportunity This post offers a unique opportunity for someone with a background in mathematics 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 to develop new software products and implement these on specific hardware platforms. It includes an important training element whereby the postholder will gain expertise in numerical software implementation together with more general mathematical and management skills. The Requirement The successful candidate will possess a first degree with a strong mathematical content together with some knowledge of financial mathematics, preferably in the area of stochastic processes as applied to financial derivatives or risk management. In addition, experience of computer programming languages is important. Prior experience of programming with GPUs would be an advantage, but is not essential. Some of the work that has resulted from this project can be viewed at http://www.nag.co.uk/numeric/gpus/. 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, Surrey Research Park, Guildford GU2 7YG, enclosing a full CV with the names and addresses of two referees, and quoting ref SI/NAG. Further details are available from the same address, or via email to [log in to unmask] Further information about NAG may be found at www.nag.co.uk and information about the Smith Institute may found at www.smithinst.co.uk. The closing date for applications is 13th October 2009.