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

小行星9508775 数学领域的产学研合作研究 科学是旨在建立数学交流机制的计划。 学术界和工业界之间的科学家在他们职业生涯的不同阶段。这些 计划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。大学与产业 博士后研究奖学金为最近的获奖者提供两年的支持， 数学科学博士学位。这些奖项是一种贡献的手段 国家未来的科学活力。博士后将 与学术界和工业界的科学顾问密切合作。 博士后研究员将在Joseph Langsom的指导下工作， 摩根士丹利公司和Marco Avellaneda在柯朗数学研究所 科学，纽约大学。本研究关注的是动力学兴趣的模型 利率和应用定价和对冲利率衍生证券，如看涨期权 以及美国国债的看跌期权这项活动涉及以下几个领域： 应用数学，包括多维随机微分分析 方程，线性和非线性抛物型偏微分方程，数值模拟 Monte Carlo模拟。

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.