In the framework of the 5-year research project “Negative and ultra-low interest rates: behavioral and quantitative modelling”, the UCL opens several PhD positions in econometrics, actuarial sciences and finance. The overall goal of the research project is to study and develop stochastic interest rates models with specific attention paid to the behavior around the zero area. Small –or even negative- interest rates have a potentially large impact on the investor’s behavior, and may generate bubbles. This is a multidisciplinary project involving several researchers and covering econometrics, finance, macro-finance, mathematical finance, statistics, and psychology.
The objective of the specific PhD position associated to this call is to study the dynamics of interest rates movements in the neighborhood of zero percent, compare them with existing models, and develop improvements that provide better fits to the reality. These models can then be applied to detect the emergence of bubbles or explain the behavior of economic agents.
This PhD position will (ideally) start on September 2018, and can be either in Science (Statistics/Actuarial Sciences) or in Management Science (Finance/Mathematical Finance). The student will be co-supervised by Prof. C. Hafner and Prof. F. Vrins.
Profile : the candidate must
- have completed (or be about to complete) a Master in Actuarial Sciences, Financial Engineering, Quantitative Finance or related fields (e.g. applied maths, physics, engineering, …) with honors.
- be familiar with financial concepts like risk-neutral valuation, black scholes, interest rates derivatives
- have a strong interest in quantitative and mathematical modelling, especially in continuous time processes (Brownian motion, martingale, etc)
- have a decent knowledge of written and spoken English. Knowledge of French is not required.
Research environment & terms of employment
The project is a joint venture between CORE and LFIN, two renowned research centers of high international reputation. Equipped with modern computing facilities, a statistics library, a vivid visitors program and ample funding for scientific activities. Regularly organized short courses, workshops, and seminar series (all in English) are given by international short and long-term visitors. A high percentage of the PhD students graduate and succeed in starting a promising career, be it in academia or industry. CORE and LFIN have numerous academic contacts, including those to neighboring fields (statistics, actuarial science, economy, finance and engineering) as well as collaborations with industry. CORE and LFIN are located in the heart of the modern, vivid and international UCL university campus at Louvain-la-Neuve, in close proximity of Brussels and its international airport, and in short travel distance to other European capitals. You will receive a tax-free monthly grant for two times two years. The position is a pure research position, that is, with (almost) no teaching or administrative obligations.
How to apply
Send your application to Frederic.firstname.lastname@example.org. Your application should consist of a zip archive including the following:
- A motivation letter, including the names and contact information of two reference persons
- A detailed curriculum vitae
- A detailed list of past courses and grades
- A copy of your relevant diploma(s)
- A written work, for instance your master thesis or a paper you have written
Contact & further information email@example.com