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Pricing and hedging in non-linear financial market models

PGR-P-591

Key facts

Type of research degree
PhD
Application deadline
Ongoing deadline
Country eligibility
International (open to all nationalities, including the UK)
Funding
Competition funded
Source of funding
University of Leeds
Supervisors
Dr Miryana Grigorova
Schools
School of Mathematics
Research groups/institutes
Probability and Financial Mathematics
<h2 class="heading hide-accessible">Summary</h2>

Contemporary mathematical finance, especially in the aftermath of the financial crisis of 2007-2008, faces important challenges which include better taking into account of various market imperfections, thorough understanding of default risk, studying complex strategic interactions between agents, to name a few. Imperfections in the markets might come, for example, from taxes on profits from risky investments, or from the trading impact of a large investor on the market prices and/or on the default probability. Such imperfections typically lead to non-linearities in the pricing rules, and hence to non-linear financial market models. Addressing the above challenges calls for new developments in stochastic analysis and stochastic control. The aim of the project is to advance our understanding of optimal stopping problems and stopping games with non-linear expectations, of (reflected) backward stochastic differential equations and of optimal switching problems. The project involves theoretical research leading to applications to pricing and hedging of financial derivatives (American options, game options, Bermudan options, ...) and to risk management in financial markets with imperfections. The successful candidate will have a strong scientific background in probability theory and stochastic processes and/or financial mathematics, as evidenced by very good Bachelor and Master degrees in Mathematics/Applied Mathematics or a closely related area and excellent recommendation letters. The successful candidate will be based at the School of Mathematics, University of Leeds and will work under the supervision of Dr. Miryana Grigorova. More information about the supervisor can be found at www.miryanagrigorova.com. The University of Leeds is part of the Russell Group of leading UK universities. The School of Mathematics has a large and vibrant group in Probability and Financial Mathematics, with an international reputation for research excellence. For more information about life on and around campus, please refer to the University of Leeds webpages.

<h2 class="heading hide-accessible">Full description</h2>

<p>The easrliest start date for this project is 1 October 2020.</p>

<h2 class="heading">How to apply</h2>

<p>Formal applications for research degree study should be made online through the&nbsp;<a href="http://www.leeds.ac.uk/rsa/prospective_students/apply/I_want_to_apply.html">University&#39;s website</a>. Please state clearly in the research information section&nbsp;that the research degree you wish to be considered for is &lsquo;Pricing and hedging in non-linear financial market models&rsquo; as well as&nbsp;<a href="https://eps.leeds.ac.uk/maths/staff/5713/dr-miryana-grigorova">Dr Miryana Grigorova</a>&nbsp;as your proposed supervisor.</p> <p>If English is not your first language, you must provide evidence that you meet the University&#39;s minimum English language requirements (below).</p> <p><em>We welcome applications from all suitably-qualified candidates, but UK black and minority ethnic (BME) researchers are currently under-represented in our Postgraduate Research community, and we would therefore particularly encourage applications from UK BME candidates. All scholarships will be awarded on the basis of merit.</em></p>

<h2 class="heading heading--sm">Entry requirements</h2>

Applicants to research degree programmes should normally have at least a first class or an upper second class British Bachelors Honours degree (or equivalent) in an appropriate discipline. The criteria for entry for some research degrees may be higher, for example, several faculties, also require a Masters degree. Applicants are advised to check with the relevant School prior to making an application. Applicants who are uncertain about the requirements for a particular research degree are advised to contact the School or Graduate School prior to making an application.

<h2 class="heading heading--sm">English language requirements</h2>

The minimum English language entry requirement for research postgraduate research study is an IELTS of 6.0 overall with at least 5.5 in each component (reading, writing, listening and speaking) or equivalent. The test must be dated within two years of the start date of the course in order to be valid. Some schools and faculties have a higher requirement.

<h2 class="heading">Funding on offer</h2>

<p>UK/EU &ndash; Leeds Doctoral Scholarship Award paying Academic Fees of &pound;4,600 for Session 2020/21 and Maintenance matching EPSRC rate (currently &pound;15,009 in Session 2019/20) per year for 3 years.&nbsp;&nbsp;Funding is awarded on a competitive basis.</p> <p>UK/EU &ndash; School of Mathematics&nbsp;Scholarship Award paying Academic Fees at Home/EU fee rate* of &pound;4,600 in Session 2020/21 in Session 2020/21 and Maintenance matching EPSRC rates (currently &pound;15,009 in Session 2019/20) per year for 3 years.&nbsp;&nbsp;Funding is awarded on a competitive basis.</p> <p>International Students (China Only) &ndash; China Scholarship Council-University of Leeds Scholarship Award paying Academic Fees of &pound;21,750 in 2020/21 for 3 years. Funding is awarded on a competitive basis.</p> <p>International&nbsp; &ndash; School of Mathematics&nbsp;Fee Only Scholarship Award paying Academic Fees of &pound;21,750 in Session 2020/21 for 3 years. &nbsp;Funding is awarded on a competitive basis.</p> <p>UK/EU/International - Alumni Bursary for previous graduates from the University of Leeds offering 10% discount on Academic Fees if wholly or partially self-funding.</p>

<h2 class="heading">Contact details</h2>

<p>For further information regarding your application, please contact Doctoral College Admissions by&nbsp;email:&nbsp;<a href="mailto:maps.pgr.admissions@leeds.ac.uk">maps.pgr.admissions@leeds.ac.uk</a>&nbsp;or by telephone: +44 (0)113 343 5057.</p> <p>For further information regarding the project, please contact Dr Miryana Grigorova by email:&nbsp;<a href="mailto:M.R.Grigorova@leeds.ac.uk">M.R.Grigorova@leeds.ac.uk</a></p>


<h3 class="heading heading--sm">Linked funding opportunities</h3>
<h3 class="heading heading--sm">Linked research areas</h3>