MONTE-CARLO ALGORITHMS IN FINANCE
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. This is a two-year position, based at
NAG Ltd in Oxford and jointly supervised by the Smith Institute and Prof
Mike Giles. The objectives are to:
* take recent research in financial simulation as the basis for a new product;
* build contacts with financial institutions to improve function and design;
* create an implementation of the chosen algorithms on specific hardware
platforms;
* take the product through testing and quality assurance to promotion and
marketing;
* evaluate future market potential.
The successful candidate will possess a first degree with a strong
mathematical content, together with a higher degree in financial
mathematics, preferably in the area of stochastic processes applied to
financial derivatives or risk management. Some familiarity with computer
programming languages is needed. It is important that candidates have a
keen interest in the role that software plays in present-day financial markets.
A flexible approach to working hours is essential, since the role will
include visits to clients and interaction with existing company production
teams. Strong communication skills are also necessary. The salary will
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 and about the Smith
Institute at www.smithinst.co.uk.
The closing date for applications is Friday 24 October.
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