ROMSOC (Reduced Order Modelling, Simulation and Optimization of Coupled Systems) is a European Industrial Doctorate (EID) project in the programme Innovative Training Networks (ITN) and part of Marie Sklodowska Curie actions within the Horizon 2020 programme. The ROMSOC EID Network brings together 15 international academic institutions and 11 industry partners and supports the recruitment of eleven early stage researchers (ESRs). Each ESR will be working on an individual research project in the host institution with secondments related to their research in other academic and industrial partners of the network. The research is focused on three major topics: coupling methods, model reduction methods, and optimization methods, for industrial applications in well selected areas, such as optical and electronic systems, economic processes, and materials. The ROMSOC EID Network offers a unique research environment, where leading academics and innovative industries will integrate ESRs into their research teams for the training period, providing an excellent structured training programme in modelling, simulation and optimization of whole products and processes.
We seek excellent open-minded and team-spirited PhD candidates who will get unique international, interdisciplinary and inter-sectoral training in scientific and transferable skills by distinguished leaders from academia and industry.
Within the ROMSOC network we offer the following PhD position at Technische Universität Berlin and MathConsult GmbH: Model order reduction for parametric high dimensional models in the analysis of financial risk. Reference number: ROMSOC-ESR06
In Computational Finance potential developments of assets and/or liabilities are usually
modeled via Monte Carlo simulation of the underlying risk factors. For the valuation of financial
instruments, however, techniques based on discretized convection-diffusion-reaction PDEs are often superior. The solution of these high-dimensional problems requires sparse representations in tensor formats and an adaptation of the iterative solvers to this format.
The PhD candidate shall develop hierarchical tensor representations MC and PDE methods arising in the valuation of financial risk. The work comprises development of model order reduction methods for high-dimensional systems in tensor format, the development of error estimates in model hierarchy and the implementation of efficient algorithms. The PhD candidate will spend secondments for technical and scientific training at MathConsults (Austria). PhD thesis preparation is possible.
Successfully completed university degree (Master, Diplom or equivalent) in Mathematics, Mathematical Engineering, Mathematical Economics, Scientific Computing or other related disciplines
Experience in numerical solution of differential equations, tensor analysis, and model order reduction
Programming skills in object oriented languages as well as Python/Matlab
Strong interest in interdisciplinary scientific work
Ability to work independently and as part of a team
Strong motivation to pursue a PhD degree
Preferred qualifications include excellent grades, research talent (as proven by the master thesis), affinity with mathematical modeling and simulation in engineering applications, and personal ambition
Excellent command of English, together with good academic writing and presentation skills
The candidate recruited in the ROMSOC project must be in the first four years from the date when the candidate obtained the degree entitling him or her to embark on a doctorate (e.g.
Master degree). No doctoral degree has been awarded during these four years. The candidate must not have resided or carried out her/his main activity (work, studies, etc.) in the host country for more than 12 months in the 3 years immediately prior to the recruitment date. Compulsory national service, short stays such as holidays, and time spent as part of a procedure for obtaining refugee status under the Geneva Convention are not taken into account.
The candidate must work exclusively for the project during the employment contract. The candidate must fulfill the conditions to be admitted in the PhD programme indicated in the job vacancy. Tuition fees will be covered by the fellowship. These conditions must be fulfilled at the starting date of the contract. The starting date for each position is tentative.
How to apply:
Please send your written application with the reference number and the usual documents (in particular motivation letter, detailed CV, certificates, list of MSc courses and grades, copy of the master thesis, reference letter) to Technische Universität Berlin - Der Präsident - Fakultät II, Institut für Mathematik, AG Modellierung, Numerik, Differentialgleichungen, Prof. Dr. Volker Mehrmann, Sekr. MA 4-5, Straße des 17. Juni 136, 10623 Berlin or by e-mail to firstname.lastname@example.org.
To ensure equal opportunities between women and men, applications by women with the required qualifications are explicitly desired.
Qualified individuals with disabilities will be favored. The TU Berlin values the diversity of its members and is committed to the goals of equal opportunities.
Please send copies only. Original documents will not be returned.
Technische Universität Berlin - Der Präsident - Fakultät II, Institut für Mathematik, AG Modellierung, Numerik, Differentialgleichungen, Prof. Dr. Volker Mehrmann, Sekr. MA 4-5, Straße des 17. Juni 136, 10623 Berlin