A Macquarie University Research Excellence (MQRES) scholarship is available for a full-time PhD candidate in the Faculty of Business & Economics, Department of Actuarial Studies, undertaking research associated with an ARC funded Discovery project. This scholarship is to be taken up in 2010.
Please quote the allocation reference number 2010080 on your application form.
In this project, we develop models for assessing and managing the risks of various structured products including financial derivatives, modern insurance products with embedded options and real options under regime-switching models. These models will be new and practically relevant to assessing and managing risk. We shall explore and document some interesting and important risk behaviour from trading such products. We shall also propose some methods for implementing and estimating the model to be developed in this project by exploiting some techniques from stochastic filtering for hidden Markov models.
The candidate is expected to have strong mathematical and computing skills. Prior research experience in mathematical finance and related fields is definitely an asset.
Interested candidates should contact, in the first instance: A/Professor Tak Kuen (Ken) Siu, email: ken.siu@efs.mq.edu.au, phone: 02 9850 8573
Applicants will need to complete a candidature/scholarship application form and arrange for two academic referee reports to be submitted to the Higher Degree Research Office. Refer to: http://www.hdr.mq.edu.au/information_about/applications for further application instructions. Macquarie University will advise the successful applicant of entitlements at the time of scholarship offer.
Please quote the allocation number 2010080 on your application.
Closing date: Sep 30,2010
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