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

9508775 Avellaneda数学科学中的大学-产业合作研究方案是旨在建立学术界和产业界在其职业生涯的不同阶段交流数学科学家的机制的方案。这些计划将加强产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-工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努力的未来活力做出贡献的一种手段。这位博士后研究员将与学术界和工业界的科学顾问密切合作。这位博士后研究员将在摩根士丹利公司的约瑟夫·兰瑟姆和纽约大学库兰特数学科学研究所的马可·阿夫兰内达的指导下工作。这项研究涉及利率动态模型以及在利率衍生品证券定价和对冲中的应用，例如美国国债的看涨期权和看跌期权。这项活动涉及应用数学的几个领域，包括分析多维随机微分方程、线性和非线性抛物型偏微分方程、数值建模和蒙特卡罗模拟。

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.