University - Industry Cooperative Research Programs in the Mathematical Sciences: Columbia University-Morgan Stanley Post-Doctoral Research Fellowship

卡拉察斯 DMS-9704505 我们建议培养一名博士后研究助理，为期两年，在现代金融的各种数学和计算方面，结合摩根斯坦利的固定收益研究小组的实力与哥伦比亚大学教师的数学知识。 博士后研究员将能够受益于这两个群体的专业知识，并将作为他们之间的知识转移的催化剂。 博士后研究员将帮助开发一个数学框架，用于对利率敏感（固定收益）工具的美国式衍生证券的估值，并开发准确和快速的数值技术。 该问题具有相当的实际意义，需要先进的数学工具，如随机微分方程，鞅和最佳停止，偏微分方程和蒙特-卡罗模拟。 哥伦比亚大学数学系，纽约，纽约州 摩根-斯坦利公司公司，纽约州纽约 该项目由MPS多学科活动办公室（OMA）和数学科学部（DMS）联合支持。

Karatzas DMS-9704505 We propose to train a Post-Doctoral Research Associate, for two years, in the various mathematical and computational aspects of modern Finance, combining the strength of Morgan-Stanley's fixed income research group with the mathematical ewxpertise of the Columbia University faculty. The Post-Doctoral Fellow will be able to benefit from the expertise of both groups, and will act as catalyst for transfer of knowledge between them. The Post-Doctoral Fellow will be expected to help develop a mathematical framework for the valuation of American-style derivative securities on interest-sensitive (fixed-income) instruments, and to develop accurate and fast numerical techniques. The problem is of considerable practical importance, and requires advanced mathematical tools, such as stochastic differential equations, martingales and optimal stopping, partial differential equations and Monte-Carlo simulations. Department of Mathematics, Columbia University, New York, NY Morgan-Stanley & Co., Incorporated, New York, NY This project is jointly supported by the MPS Office of Multidisciplinary Activities (OMA) and the Division of Mathematical Sciences (DMS)