Postgraduate Studentship: Robust financial mathematics: model-ambiguous framework for valuation and risk management


Applications are invited for a D.Phil. studentship, funded by the European Research Council to work on the project “Robust Financial Mathematics: model-ambiguous framework for valuation and risk management”, under the supervision of Dr Jan Obloj.  This D.Phil. studentship will start on 1 October 2014 and will be based at the Mathematical Institute. The studentship includes a standard stipend and College and University fees at home/EU or overseas rate, as applicable. The studentship is attached to St John’s College.

The project focuses on challenges involved in building a robust modelling framework in mathematical finance: a coherent mathematical framework for valuation, hedging and risk management, which starts with the market information and not an a priori probabilistic setup. Motivated by recent contributions, it consistently combines model ambiguity with a comprehensive use of market information and has a built-in flexibility to interpolate between the model-specific and model-independent settings. The core of the D.Phil. project is related to questions in embedding problems and time change techniques in probability theory but has also natural links with optimal transport and other branches of mathematics. Applicants are expected to have an excellent mathematical preparation, including background knowledge in stochastic processes.

Applications should be made online by clicking the Apply link below and should include a CV, covering letter, three references and a transcript of your undergraduate degree. If you are unable to apply online, you can request a paper form from

Applications must arrive by noon on 24th January 2014. Please quote the correct reference BK/13/008 in your covering letter. References can also be sent directly to Sandy Patel (email by the closing date.

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For further details of the projects, including the application process, please contact

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