Research Scientist (Computational Finance) - [Archived Advertisement]
CSIRO -Data61 (View other jobs from this organisation)
Research Scientist (Computational Finance)
- Do you have experience in design and implementation of innovative mathematical models and numerical methods to solve real-world problems?
- Do you want to address challenging problems in exotic options valuation and/or financial risk modelling?
- Join CSIRO - Australia’s premier science & technology research organisation
CSIRO Data61 has an exciting career opportunity for a quantitative Research Scientist with a track record in numerical methods and computational finance. As part of the Optimisation and Financial Risk Analytics group in Data61, you will join the Australian node of RiskLab, a collaborative centre with industry and university partners working together with Data61 researchers and engineers. In the group, we explore decision-making and optimization under uncertainty, developing state-of-the-art mathematical models for pricing exotic options for industrial partners in domains including finance, energy and primary industry. We deliver benefits to business and industry by directly working with industry practitioners in designing and implementing innovative solutions and are industry-led in our choice of research topics. Our solutions are delivered through software platforms that are used by industry practitioners in real-time production environments and as well as through publication of our research results.
In this exciting role you will be a member of a highly successful team of applied mathematicians and financial engineers working to address challenging problems in exotic options valuation and/or financial risk modelling, both locally and globally.
You will have an opportunity to work on new mathematical approaches and numerical methodologies to deliver innovative solutions in the areas of mathematical models for exotic financial options, and/or time series analysis in financial applications, and/or optimal dynamic decisions under uncertainty while you contribute to successful delivery of high-quality implementations of quantitative models to international clients.
In return you will be rewarded by working with a leading government organisation which is engaged in world class scientific research, with excellent career development and professional support. You will benefit from working with other innovative researchers on projects contributing directly to industry.
Depending on the experience level of the candidate, this role may be filled at either a CSOF5 or CSOF6 level.
- Conducting R&D and consulting work in financial engineering as a member of a team, including implementation of numerical methods in C++ and python as part of a commercial-quality code-base
- Identifying and conducting independent research on new mathematical concepts, numerical methods and technologies in exotic options pricing, quantitative risk, dynamic portfolio allocations or other decision-making under uncertainty disciplines
- Publishing research findings in conferences and key international journals. Present research findings to peers and establish influence with key industry partners
- Working closely with industry partners and other external collaborators in developing and transferring research results and applications.
- Other duties as specified in the Position Description
Location: Melbourne, VIC
Salary: CSOF 5 - AU$98,735 to AU$106,848 pa, CSOF 6 – AU$113,338 – AU$119,827 pa (pro-rata for part-time) + up to 15.4% superannuation
Tenure: Indefinite
Reference: 64374
1. A PhD in a major quantitative discipline such as computational finance, applied mathematics and/or related areas with experience in design and implementation of numerical methods for applications such as exotic options pricing and/or stochastic optimisation and control.
2. Demonstrated ability to apply high level mathematical expertise to solving complex problems, such as in financial engineering, computational quantitative finance
3. Evidence of knowledge and experience of C++
4. Demonstrated extensive experience in implementation of numerical methods in C++ or Python as part of a multi-disciplinary team
5. Demonstrated ability to produce research output through academic publications
6. Excellent written and oral communication in English, in informal team-based and formal academic and client-facing settings
For more information about this role please view the Position description.
The successful applicant will be required to fulfil all special requirements enlisted in the Position Description.
We work flexibly at CSIRO, offering a range of options for how, when and where you work. Talk to us about how this role could be flexible for you. Balance
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At CSIRO, Australia's national science agency, we solve the greatest challenges through innovative science and technology.
Join us and start creating tomorrow today!
Please apply on-line and provide a cover letter and CV that best demonstrate your motivation and ability to meet the requirments of this role.
Tuesday 18 February 2020, 11:00pm AEDT.
and details on how to apply visit
www.csiro.au/careers or call 1300 984 220
Job Summary
- Closing Date:
- 18 Feb 2020
- Location:
- VIC - Melbourne
- Salary:
- CSOF 5-AU$98,735 to AU$106,848 pa, CSOF 6–AU$113,338 – AU$119,827 pa (pro-rata for part-time) + up to 15.4% super
- Work Type:
- Full Time
- Category:
-
Computer Science
Finance/Payroll Systems
Fraud/Forensic Computing
Government/Public Sector
Release Management/Integration/Deployment