There is a 1-year-Post-Doc position at the university of Verona. The topic of the research project is “Machine learning and stochastic control for financial risk management”.
The aim of this project is to study new methods, models, and numerical techniques for the treatment of financial risk management problems, in particular counterparty credit risk (xVA) or the pricing of financial and insurance claims. Many problems in finance involve the minimization of a cost functional subject to controlled stochastic state variables. Controls or related quantities in high dimension can be conveniently approximated by means of artificial neural networks. The aim of the project is to study control problems under general dynamics together with the development of new models for the evolution of risk factors, with a special focus on interest rates.
The candidate should have a solid background in probability, stochastic calculus and computational finance. Experience with the Java and/or Python programming languages and Machine Learning frameworks such as Tensorflow, Deep Java Library or Deeplearning4J is a plus.
Candidates will be evaluated based on their scientific quality and their potential in developing research. There are no teaching obligations and knowledge of Italian is not required.
The deadline for applications is the 11 January 2024 (h. 13.00).
The link to the call is here:
The call is in Italian. Non-Italian speakers needing help with the form can contact Alessandro Gnoatto.
The Economics Department of the University of Verona has been recognized as “Department of Excellence” (“Dipartimento di Eccellenza”) in the latest Italian Government Research Quality Evaluation Procedure.
The research group in quantitative and mathematical finance of the University of Verona offers a vibrant and young working environment. Members of the group:
- – Alessandro Gnoatto (full professor)
- Cecilia Mancini (full professor)
- Cosimo-Andrea Munari (associate professor)
- Athena Picarelli (associate professor and local coordinator of the project)
- Andrea Mazzon (tenure-track assistant professor)
- Sara Svaluto-Ferro (tenure-track assistant professor)
- Jonathan Tam (post-doc)
There is also a dedicated PhD program on quantitative methods for economics and finance.