Research Assistants are needed for the following 2 positions
(Funded by the Center of Actuarial Excellence)
Position 1:
Research assistant required to work on problems related to quantitative finance when risk factor distributions are uncertain. Topics will include risk management problems with given marginal distributions and uncertainty on the dependence structure, and analysis pricing options on volatility for diffusion processes with unknown volatility coefficients through corresponding free boundary problems. Knowledge of risk management, derivatives pricing, stochastic calculus and partial differential equations required. Strong background in computer science and programming an advantage.
Supervisors: Prof. David Saunders and Prof. Tony Wirjanto
Duration: September 1, 2013- December 31, 2013
Amount: up to 5K
If you are interested, please email your resume and transcript to both David dsaunders@uwaterloo.ca and Tony twirjanto@uwaterloo.ca no later than August 10 for consideration
Position 2:
The project will involve development and coding of pricing methods for some options embedded in life insurance products. The main focus will be on pricing Ratchet equity-indexed annuities with an early surrender option, but we may also consider other options. The objective will be to develop efficient pricing methods under the assumption that the dynamic of the underlying fund allows for jumps and its volatility follows a regime switching model.
We are going to consider methods based on Fourier transforms and therefore an ideal background of the person working on this project will include familiarity with: equity-indexed annuities, Fourier transform and Fourier series expansions, methods of pricing of American options, and Levy processes. Some programming experience in either C or Matlab is also essential.
Supervisors: Prof. Adam Kolkiewicz
Duration: September 1, 2013- December 31, 2013
Amount: up to 5K
If you are interested, please email your resume and transcript to wakolkie@uwaterloo.ca no later than August 10 for consideration