Mathematical Sciences: Courant - Morgan Stanley Postdoctoral Research Associateship in the Mathematical Sciences

数学科学：Courant - 摩根士丹利数学科学博士后研究奖学金

• 批准号: 9508775
• 负责人: Marco Avellaneda
• 金额: $ 7.1万
• 依托单位: New York University
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 1995
• 资助国家: 美国
• 起止时间: 1995-09-01 至 1997-08-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=9508775&HistoricalAwards=false
• 关键词: Mathematical; Sciences; Courant; Morgan; Stanley

9508775 Avellaneda The University-Industry Cooperative Research Programs in the Mathematical Sciences are programs designed to establish a mechanism for exchange of mathematical scientists between academia and industry at different stages of their careers. These programs will strengthen the links between industry and academia and identify and encourage new avenues of research in the mathematical sciences. The University-Industry Postdoctoral Research Fellowships provide two years of support for recent recipients of doctoral degrees in the mathematical sciences. These awards are a means of contributing to the future vitality of the scientific effort of the nation. The postdoctoral fellow will work closely with scientific advisors from both academia and industry. The postdoctoral fellow will work under the direction of Joseph Langsom at Morgan Stanley Co. and Marco Avellaneda at the Courant Institute of Mathematical Sciences, New York University. The research concerns models for the dynamics interest rates and applications to pricing and hedging interest-rate derivative securities, such as call and put options on U.S. Treasury bonds. This activity touches upon several areas of applied mathematics, including analysis of multidimensional stochastic differential equations, linear and nonlinear parabolic partial differential equations, numerical modeling and Monte Carlo simulation.

数学科学领域的大学-产业合作研究项目旨在建立一种机制，使学术界和产业界的数学科学家在其职业生涯的不同阶段进行交流。这些项目将加强工业界和学术界之间的联系，并确定和鼓励数学科学研究的新途径。大学-行业博士后研究奖学金为最近获得数学科学博士学位的人提供两年的支持。这些奖项是为国家科学事业的未来活力作出贡献的一种手段。该博士后将与来自学术界和工业界的科学顾问密切合作。该博士后将在摩根斯坦利公司的Joseph Langsom和纽约大学Courant数学科学研究所的Marco Avellaneda的指导下工作。这项研究涉及动态利率模型，以及在利率衍生品证券（如美国国债的看涨期权和看跌期权）定价和对冲方面的应用。这项活动涉及应用数学的几个领域，包括多维随机微分方程的分析，线性和非线性抛物偏微分方程，数值建模和蒙特卡罗模拟。