- 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.
Your duties will include:
- 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.
For appointment at the higher salary level (CSOF6), duties will also include:
- Developing strategic research plans and ensure the successful execution of these plans.
- Developing an emerging profile through disseminating research results and establish influence with key industry partners.
- Leveraging results to generate further research projects.
Location: Melbourne, VIC
Salary: AU$98k - AU$106k plus up to 15.4% superannuation (CSOF5)
AU$113k - AU$119k plus up to 15.4% superannuation (CSOF6)
To be considered you will need:
1. A PhD in a major quantitative discipline and demonstrated ability to apply high level mathematical expertise to solving complex problems in areas such as financial engineering, computational finance, applied mathematics and/or related areas.
2. Qualification and/or experience in the design and implementation of numerical methods for solving PDEs encountered in financial exotic option valuation.
3. Evidence of knowledge of and experience using C++ or other similar statically-typed languages; use of linear algebra libraries such as Intel MKL, LAPACK, Eigen is highly desirable
4. Demonstrated extensive experience in implementation of numerical methods in C++ or similar languages as part of a multi-disciplinary team.
5. Demonstrated ability to produce research output through academic publications, with a publication record commensurate with experience.
6. Excellent written and oral communication in English, in informal team-based and formal academic and client-facing settings.
Additional essential criteria for CSOF6 appointment:
1. Experience in project leadership, including students and interns
2. Demonstrated experience in managing delivery of successful projects
3. Demonstrated ability to turn new ideas into research projects
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.
Flexible Working Arrangements
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
Diversity and Inclusion
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Diversity and Inclusion Strategy
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How to Apply
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.
Monday 15th June 2020, 11:00pm AEDT.