PhD Position in Stochastic Modeling and Computational Finance for Renewable Energy Markets

9 Mar 2024
Job Information

Organisation/Company

University of Amsterdam (UvA)

Research Field

Physics

Researcher Profile

First Stage Researcher (R1)

Country

Netherlands

Application Deadline

13 Apr 2024 – 21:59 (UTC)

Type of Contract

Temporary

Job Status

Not Applicable

Hours Per Week

38.0

Is the job funded through the EU Research Framework Programme?

Not funded by an EU programme

Is the Job related to staff position within a Research Infrastructure?

No

Offer Description

The Computational Science Lab (CSL) at the University of Amsterdam is pleased to announce an open PhD position in Stochastic Modeling and Computational Methods in Finance, with a focus on Renewable Energy Markets. This role is perfect for someone who not only has a strong foundation in stochastic modeling and computational finance but is also eager to apply these mathematical/computational techniques to the dynamic and increasingly vital area of renewable energy markets.

As a PhD candidate in our group, you will dive deep into the complexities of financial mathematics, developing and refining models and efficient numerical techniques that are both theoretically sound and practically relevant. The focus on Renewable Energy Markets means you’ll be at the cutting edge, applying your skills to a sector that is not only academically challenging but also crucial for our sustainable future.

We’re looking for a candidate who thrives in an environment where theoretical mathematics meets practical application. Your work will contribute to a deeper understanding of renewable energy markets and help shape sustainable practices in the energy sector.

What are you going to do?
As a PhD candidate you will:

• Engage in advanced research on stochastic modelling techniques and their applications in the financial aspects of renewable energy markets.
• Develop and implement innovative computational methods to analyze and predict market dynamics in the renewable energy sector.
• Design and study stochastic models for renewable energy variables like electricity spot and forward prices or wind and solar power production forecasts based on continuous-time autoregressive moving-average processes.
• Implement efficient pricer and hedging strategies for various contigent claims written on renewable energy variables and analyse their performance and statistical properties.
• Explore optimal control problems in renewable energy trading.
• Collaborate with a team of experts in fields such as sustainable finance, stochastic analysis, statistics and computational science.
• Participate in interdisciplinary projects that aim to address real-world challenges in the renewable energy market.
• Contribute to academic publications and present your findings at international conferences and seminars.
• Actively participate in the department’s educational programs, possibly including the supervision of undergraduate or master’s level students.

Requirements
Specific Requirements

We are looking for an enthusiastic and driven candidate who meets the following requirements:

• Educational Background: You should have a Master’s degree (or be close to obtaining one) in a field relevant to the position, such as Mathematics, Financial Mathematics, Statistics, Computational Finance, or a related discipline.
• Experience: Experience in working with stochastic processes, stochastic models and statistical analysis is required, as, e.g., proven by a Master’s thesis in this field.
• Technical Proficiency: The candidate should be proficient in a programming language commonly used in computational finance, such as Python, R, MATLAB, or Julia. Experience with data analysis tools and software is highly desirable.
• Interest in Renewable Energy Markets: You should have a genuine interest in the field of renewable energy markets. Familiarity with the current trends, challenges, and opportunities in this sector will be a significant advantage.
• Analytical and Problem-Solving Skills: You should have excellent analytical abilities and a problem-solving mindset, with the capacity to work on complex financial models and data sets.
• Communication Skills: Strong written and verbal communication skills are required. You should be able to articulate your research findings effectively to both academic and non-academic audiences. Proficiency in English is required.
• Teamwork and Independence: You should be highly motivated, committed to your research, and have a passion for academic excellence. While you should be able to work independently, you must also be a good team player, ready to collaborate with other researchers and contribute to joint projects.

Knowledge, skills and experiences which are a plus (pre):

• Previous Experience: Any previous experience or exposure to the energy sector, particularly renewable energy trading, through internships, research projects, or coursework will be highly regarded.

Additional Information
Benefits

A temporary contract for 38 hours per week for the duration of 4 years (the initial contract will be for a period of 18 months and after satisfactory evaluation it will be extended for a total duration of 4 years). The preferred starting date is to be discussed. This should lead to a dissertation (PhD thesis). We will draft an educational plan that includes attendance of courses and (international) meetings. We also expect you to assist in teaching undergraduates and master students.

The gross monthly salary, based on 38 hours per week and dependent on relevant experience, ranges between € 2,770 in the first year to € 3,539 in the last year (scale P). UvA additionally offers an extensive package of secondary benefits, including 8% holiday allowance and a year-end bonus of 8.3%. The UFO profile PhD Candidate is applicable. A favourable tax agreement, the ‘30% ruling’, may apply to non-Dutch applicants. The Collective Labour Agreement of Universities of the Netherlands is applicable.

Besides the salary and a vibrant and challenging environment at Science Park, we offer you multiple fringe benefits:

• 232 holiday hours per year (based on fulltime) and extra holidays between Christmas and 1 January;
• Multiple courses to follow from our Teaching and Learning Centre;
• A complete educational program for PhD students
• Multiple courses on topics such as leadership for academic staff;
• Multiple courses on topics such as time management, handling stress and an online learning platform with 100+ different courses;
• 7 weeks birth leave (partner leave) with 100% salary;
• Partly paid parental leave;
• The possibility to set up a workplace at home;
• A pension at ABP for which UvA pays two third part of the contribution;
• The possibility to follow courses to learn Dutch;
• Help with housing for a studio or small apartment when you’re moving from abroad.

Are you curious to read more about our extensive package of secondary employment benefits, take a look here .

Selection process

If you feel the profile fits you, and you are interested in the job, we look forward to receiving your application. You can apply online via the button below. We accept applications until and including 13 April 2024.

Applications should include the following information (all files apart from your CV should be submitted in one single pdf file):

• a detailed CV including the months (not just years) when referring to your education and work experience;
• a letter of motivation;
• Include either a copy of your Master’s thesis (if available) or provide the title and an abstract;
• the names and email addresses of two references who can provide letters of recommendation.

Please make sure to provide ALL requested documents mentioned above.
You can use the CV field to upload your resume as a separate pdf document. Use the Cover Letter field to upload the other requested documents, including the motivation letter, as one single pdf file.

A knowledge security check may be part of the selection procedure.
(for details: National knowledge security guidelines ).

Only complete applications received within the response period via the link below will be considered. Please don’t send any applications by email.

We will invite potential candidates for interviews soon after the expiration of the vacancy.

Additional comments

Do you have any questions, or do you require additional information? Please contact:

• Sven Karbach, Assistant Professor, [email protected]
• T: +49 17645958244

Website for additional job details

https://www.academictransfer.com/338833/

Work Location(s)

Number of offers available

1

Company/Institute

Faculty of Science

Country

Netherlands

City

Amsterdam

Postal Code

1098XH

Street

Science Park 904

Geofield

Where to apply

Website

https://www.academictransfer.com/en/338833/phd-position-in-stochastic-modeling-…

Contact

City

Amsterdam

Website

http://www.uva.nl/

Street

Spui 21

Postal Code

1012 WX

STATUS: EXPIRED