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Oxford-Man Institute of Quantitative Finance, Eagle House, Walton Well Road, Oxford

Grade 7: £29,249 - £35,938 with a discretionary range to £39,257 p.a.

The Oxford-Man Institute of Quantitative Finance (http://www.oxford-man.ox.ac.uk) seeks to appoint a strong researcher who can contribute effectively to our understanding and ability to model slippage in order books, and at the same time extend and generalise Ito's formula to rough paths.

The researcher will work closely with experts in rough paths such as Professor Terry Lyons, and will need an appetite for data and the complex dynamical systems (such as order books) that one finds in markets. It is expected that the successful applicant will have the ability to achieve outcomes with practical and theoretical impact, deepening our understanding of order books and of the stochastic calculus. An ability to appreciate the mathematics involved in rough path theory and link this, in statistical and computational terms, to real market systems, will be key appointment criteria. The Institute has excellent access to data and facilities for computation. In the context of this appointment, the environment will be further enhanced as a result of the ERC advanced grant recently awarded to Terry Lyons, which contains substantial support for developing computational tools for rough paths, and which will further ensure that there is a strong and supportive research environ! ment for the appointed researcher.

The successful candidate will be an outstanding established or promising researcher with some expertise in rough paths and computation. The ability to articulate and frame clear principles in complex contexts, and identify core issues to effectively analyse and model market systems are key skills for this position.

This is a full time position, fixed-term for three years, commencing September 2012.

The closing date for applications will be midday on Friday 11 May 2012. Please quote reference number LA-12-03 102693 on all correspondence.