Faculty of Mathematics and Natural Sciences – Department of Mathematics

The CRC 388 investigates the interplay between rough analysis and stochastic dynamics. Central aspects include rough paths and subsequent developments for nonlinear stochastic partial differential equations. The theory of signatures and rough volatility also provides important connections to algebra, statistics, and financial mathematics. Website: https://sites.google.com/view/trr388/

Job description:

• Scientific services in research within the SFB project B02 "Microstructural Foundations of Rough Volatility Models" of the CRC 388 „Rough Analysis, Stochastic Dynamics and Related Fields"
• In project B02, new mathematical methods for analyzing financial market models with rough volatility are being developed using stochastic and rough analysis. Possible research topics include ​​scaling limits for rough dynamics, Hawkes processes or control theory for rough volatility models.

Requirements:

• Completed scientific university degree in mathematics or related fields
• PhD in mathematics or a closely related field
• Strong interest in stochastic analysis, financial mathematics and/or rough path theory

Please send your application referencing the job ID DR/114/24 to Humboldt-Universität zu Berlin, Faculty of Mathematics and Natural Sciences, Department of Mathematics, Prof. Dr. Ulrich Horst / Prof. Dr. Dörte Kreher (located: Rudower Chaussee 25, 12489 Berlin), Unter den Linden 6, 10099 Berlin or preferably via e-mail as a single PDF file to ulrich.horst@hu-berlin.de / doerte.kreher@hu-berlin.de.

The Humboldt-Universität zu Berlin is seeking to increase the proportion of women in research and teaching, and specifically encourages qualified female scholars to apply. Severely disabled applicants with equivalent qualifications will be given preferential con- sideration. People with an immigration history are specifically encouraged to apply. Since we will not return your documents, please submit copies in the application only.

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