Two PhD vacancies in numerical analysis and financial mathematics

(22-01-2023)

The Department of Mathematics of the University of Antwerp and the Department of Applied Mathematics, Computer Science and Statistics of Ghent University each have a vacancy for a full-time (100%) doctoral scholarship holder in numerical analysis and financial mathematics.
The two PhD positions are being funded by the research project “Numerical Analysis and Simulation of Exotic Energy Derivatives” of Prof. Karel in ‘t Hout (University of Antwerp), Prof. Michèle Vanmaele (Ghent University) and Prof. Fred Espen Benth (University of Oslo) that has been granted by the 
Research Foundation Flanders (FWO). This project deals with the development, analysis and application of operator splitting methods for the efficient and stable numerical solution of advanced, multidimensional partial integro-differential equations (PIDEs) and partial integro-differential complementarity problems (PIDCPs) arising in contemporary financial energy option valuation.  In this project we consider two main research topics: (1) infinite activity jumps and (2) swing options.

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