Postdoctoral position in Mathematical Statistics

Description of the workplace

The position will be based in the Division of Mathematical Statistics at the Centre for Mathematical Sciences. The Centre for Mathematical Sciences is a joint institution for the Faculty of Engineering (LTH) and the Faculty of Science (N) at Lund University, bringing together all mathematical sciences.

The department has around 25 employees, evenly divided between senior researchers and doctoral students. Current research areas within the Department of Mathematical Statistics include stochastic models, statistical theory and computational statistics, probability theory and statistical signal processing, with applications in areas such as financial mathematics, environmental research and medicine.

We attach great importance to a good, collegial working environment. The department is international with a relatively even gender distribution among employees.

More on Centre for Mathematical Sciences 

Subject and project description

A short specific subject description can be used to describe and clarify the research area/s included in more detail. This description governs the selection process.

Portfolio selection is a fundamental issue in financial mathematics. While classical research often emphasizes the importance of asset diversification, there has recently been growing empirical support in research for the view that temporal information, in combination with diversification, plays a crucial role in controlling risk. 

The project aims to investigate how abrupt changes in dynamics, such as hidden Markov models or statistical jump models, affect the optimal decision-making process for an investor.

Specifically, we aim to develop new methods for regime models, including automatically distinguishing between relevant and irrelevant data, developing appropriate model evaluation criteria for these models, solving a realistic, high-dimensional asset allocation problem with appropriate constraints, and finally applying a comprehensive end-to-end framework for asset allocation through a data-driven approach.

The position is funded by a grant from the VERG Foundation.

Work duties

The main duties involved in a post-doctoral position is to conduct research. Teaching may also be included, but up to no more than 20% of working hours. The position includes the opportunity for three weeks of training in higher education teaching and learning. The purpose of the position is to develop the independence as a researcher and to create the opportunity of further development. 

Detailed description of the work duties, including:

• Research within the subject area
• Teaching in the first, second and third cycles of studies
• Supervision of degree projects and doctoral students
• Actively seeking external research funding
• Collaboration with industry and wider society
• Administration related to the work duties listed above.

Qualification requirements 

Appointment to a post-doctoral position requires that the applicant has a PhD, or an international degree deemed equivalent to a PhD, within the subject of the position. The certificate proving the qualification requirement is met, must be received before the employment decision is made. Priority will be given to candidates who have graduated no more than three years ago before the last day for application. Under special circumstances, the doctoral degree can have been completed earlier.

Additional requirements

• Very good oral and written proficiency in English. 
• Experience of programming, for example in Matlab, Python, Julia or R.

Assessment criteria 

This is a career development position primarily focused on research. The position is intended as an initial step in a career, and the assessment of the applicants will primarily be based on their research qualifications and potential as researchers. Particular emphasis will be placed on research skills within the subject.

For appointments to a post-doctoral position, the following shall form the assessment criteria:

• A good ability to develop and conduct high quality research.
• Teaching skills. 

Other qualifications

• Experience in several of the following areas: state models, time series analysis, computational statistics, unsupervised machine learning, optimisation, model predictive control.
• Experience in financial mathematics.
• Having high integrity, be process-oriented and able to work independently.
• Being able to collaborate with others and contribute to the department's activities. 

Consideration will also be given to how the applicant’s experience and skills complement and strengthen ongoing research within the department, and how they stand to contribute to its future development.

We offer

Lund University is a public authority which means that employees get particular benefits, generous annual leave and an advantageous occupational pension scheme. Read more on the University website about being a Lund University employee Work at Lund University. 

Further information

This is a full-time, fixed-term employment of 2 years. The period of employment is determined in accordance with the agreement “Avtal om tidsbegränsad anställning som postdoktor” (“Agreement on fixed-term employment as a post-doctoral fellow”).

How to apply

Applications are to be submitted via the University’s recruitment system. The application should include a CV with a list of publications and a personal letter justifying your interest in the position and how it matches your qualifications. The application should also include a degree certificate or equivalent and any other document to which you would like to draw attention (copies of grade transcripts, details of referees, letters of recommendation, etc.)”  

Welcome to apply!