Do you enjoy working in an interdisciplinary research setting at the interface between mathematical and computational finance and do you want to be active in a variety of educational programmes? The Institute for Informatics (IvI) and the Korteweg de Vries institute (KdVI) of the University of Amsterdam (UvA) are looking for a new colleague at the Assistant Professor level. This joint appointment will be part of the Computational Science Lab (CSL) and the Stochastics Group of the Faculty of Science of the UvA.

Mathematical models and computational techniques are heavily used for pricing and risk management of financial instruments, such as derivative contracts, mortgages/loans and insurance products. In the past decades the field has seen a major change in particular after the credit crisis. Pricing and risk models became holistic with the need for an integrated view of market -, credit - and liquidity risk. This has introduced major challenges for both the mathematical modelling frameworks and computational techniques. For example, key issues are in the incorporation of systemic effects in pricing and risk models, their impact on financial stability and there is a growing need for efficient computational methods.

More recently, the application of data-driven computational modelling including machine learning algorithms has seen a growing interest. Another interesting direction of research is the application of network and agent-based models and other approaches from statistical physics, a field known as econophysics. While good progress has been made, significant challenges remain in particular regarding explainability of ML algorithms, and there is still limited use of the econophysics based approaches in day-to-day practice.

To further strengthen the Mathematical Modelling and Computational Finance research agenda and stimulate the interaction between the Computational Science Lab (CSL) of the Institute of Informatics (IvI) and the Mathematical Finance group of the Korteweg de Vries Institute (KDVI), we are extending with a tenure track position in the field of data driven methods for mathematical modelling and computing in finance with a special emphasis on these modern approaches.

The research should benefit significantly from the large amounts of data that is becoming available, and has great potential for joint research projects with industry, and to evolve as an internationally recognized and leading theme with its foundations within IvI/KDVI and cross-collaboration with different research institutes such as Quantitative Economics, Artificial Intelligence (AI) and research programs from the business school and even social sciences.

This position will be part of the AI4Fintech research program of the University of Amsterdam (UvA) which is composed of a financial risk and a non-financial risk theme. You are expected to assist in the coordination of the non-financial risk part of the program. Together with the staff members associated with this initiative, you will direct the program at scientific, strategic, and operational level.

What are you going to do?

You are expected:

• to be active in the fundamental and/or applied research of our Mathematical Modelling and Computational Finance research theme with cross collaboration with Computational Science, Mathematical Finance, AI and Quantitative Economics research groups;
• to be publishing in high level international journals, presenting at leading conferences and supervising PhD students;
• to take part in the teaching effort of the group, including supervision of bachelor and master students;
• to be active in the attraction of external funding;
• to play an active role in the coordination of the Financial Risk theme of the AI4FinTech research program of the UvA;
• to be open to collaborations with other institutes and/or companies by contributing expertise to (joint) research projects.

We will base our selection on your scientific track record and on your vision for future research, as well as on your teaching achievement, qualifications, and vision for future teaching.

Your experience and profile:

• a PhD in Computational Finance, Mathematical Finance, Quantitative Economics or a closely related field;
• a strong scientific expertise reflected among others by publications in respectable international journals;
• a demonstrated dedication to teaching at the undergraduate and graduate levels;
• display the ability and capacity to develop independent and vigorous programmes of funded research;
• fluency in English, both written and spoken.

You are enthusiastic about and willing to be active in the attraction of external funding and contribution to valorization efforts. You foster collaboration with other academic institutes and industry.

We offer a temporary employment contract for 38 hours per week with a tenure track agreement for the duration of 5 years (which is part of a 5-year temporary contract). The preferred starting date is to be discussed. You will be offered a permanent position after positive assessment and evaluation.

The gross monthly salary, based on 38 hours per week and dependent on relevant experience, ranges between € 3,974 to € 5,439 (scale 11). This does not include the 8% holiday allowance and the 8,3% year-end allowance the UvA offers. The UFO profile University Lecturer 2 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;
• 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.

Faculty of Science

The University of Amsterdam (UvA) is the Netherlands' largest university, offering the widest range of academic programmes. At the UvA, 30,000 students, 6,000 staff members and 3,000 PhD candidates study and work in a diverse range of fields, connected by a culture of curiosity.

The Faculty of Science has a student body of around 8,000, as well as 1,800 members of staff working in education, research or support services. Researchers and students at the Faculty of Science are fascinated by every aspect of how the world works, be it elementary particles, the birth of the universe or the functioning of the brain.

The mission of the Informatics Institute (IvI) is to perform curiosity-driven and use-inspired fundamental research in Computer Science. The main research themes are Artificial Intelligence, Computational Science and Systems and Network Engineering. Our research involves complex information systems at large, with a focus on collaborative, data driven, computational and intelligent systems, all with a strong interactive component.

The Korteweg-de Vries Institute for Mathematics (KdVI) is the mathematics research institute of the University of Amsterdam. World-class research is performed in the fields of Algebra, Geometry and Mathematical Physics; Pure, Applied and Numerical Analysis; and Stochastics. A focus area concerns financial mathematics, thus also supporting the prestigious master program Stochastics & Financial Mathematics.

The tenure track position at the assistant professor level will be a joint appointment between the Computational Science Lab (CSL) at the Institute for Informatics (IvI) and the Stochastics group of the Korteweg de Vries Institute (KdVI) of the Faculty of Science (FNWI) of the University of Amsterdam (UvA). CSL is led by Dr. Mike Lees and also includes among others Prof. Peter Sloot and Prof. Drona Kandhai, as well as around 25 PhD students and postdoctoral researchers. The Stochastics group of KdVI is led by Prof. Joris Mooij, and also includes Prof. Drona Kandhai, Prof. Michel Mandjes and Prof. Sindo Núñez-Queija, as well as eight other senior staff members, fifteen PhD students and postdoctoral researchers. Other groups within UvA doing research relevant for this position include the Amsterdam Machine Learning Lab (AMLab led by Prof. Max Welling) and the Quantitative Finance within the faculty of Economics & Business (Prof. Cars Hommes ). The groups have strong collaborations with the financial industry (e.g. ING Bank, Rabobank and KPMG) and the Centrum Wiskunde & Informatica (CWI).

Want to know more about our organisation? Read more about working at the University of Amsterdam.

Any questions?

Do you have questions about this vacancy? Or do you want to know more about our organisation? Please contact:

• M: Prof. Drona Kandhai, Professor in Computational Finance;
• T: + 31 6330861691; and/ or
  
  
• M: Prof. Michel Mandjes, Professor in Applied Probability;
• T: +31 205255164.