Research Position in Data Driven Modelling in Computational Finance

University of Amsterdam Informatics Institute


Tenure Track position Data Driven Modelling in Computational Finance

Publication date 1 June 2020

Closing date 31 August 2020

Level of education PhD

Hours 38 hours per week

Salary indication €3,637 to €4,978 gross per month

Vacancy number 20-326

Computational finance is primarily focussing on the development of computational models and the formulation of highly efficient numerical methods for pricing and risk management of financial instruments, such as derivative contracts, mortgages/loans and insurance products.  While good progress has been made in this field in the past decade, significant challenges are ahead in particular as a consequence of the recent credit crisis. One of the key issues remains the incorporation of systemic effects in pricing and risk models. More recently, the application of data-driven computational modelling has seen a growing interest for non-financial risk as well. Examples include fraud analytics, criminal networks and KYC (Know Your Customer).

To further strengthen the Computational Finance research agenda and stimulate the interaction between the Computational Science Lab and the Amsterdam Machine Learning Lab of IvI and the Mathematical Finance and Quantitative Economics groups at UvA, we are extending with a tenure track position in the field of data driven methods for Pricing, Stability and Non-Financial Risk by means of a combination of System Dynamics, Agent Based/Network Theory and (Explainable) AI Methods.

The research should benefit significantly from the large amounts of data that is becoming available. This research has great potential for joint research projects with industry and to evolve as an internationally recognized and leading theme with its foundations within IvI and cross-collaboration with different research institutes such as mathematics, economics and business and even social sciences. Joint appointments with industry are possible.

What are you going to do?

 You will:

  • be active in the fundamental and/or applied research of our Computational Finance research theme with cross collaboration with AI and Mathematical Finance research groups;
  • publish in high level international journals, presenting at leading conferences and supervising PhD students;
  • take part in the teaching effort of the group, including supervision of bachelor and master students;
  • be active in the attraction of external funding;
  • be open to collaborations with other institutes and/or companies by contributing expertise to (joint) research projects.

We will base our selection on your scientific track record and on your vision for future research, as well as on your teaching achievement, qualifications, and vision for future teaching.

What do we require?

  • A PhD in Computational Science, Mathematics, Quantitative Economics or a closely related field;
  • a strong scientific expertise reflected among others by publications in respectable international journals;
  • a demonstrated dedication to teaching at the undergraduate and graduate levels;
  • enthusiasm about and the willingness to be active in the attraction of external funding;
  • the willingness to contribute to valorisation efforts and to foster collaborations with other academic institutes and industry;
  • to display the ability and capacity to develop independent and vigorous programmes of funded research;
  • fluency in English, both written and spoken and the willingness to learn Dutch.

Our offer

We offer a temporary contract for 38 hours per week with tenure track, with start dates somewhere in October 2020 to January 2021 (ideally) for the duration of five years. You will be offered a permanent position after positive assessment and evaluation.

The salary, depending on relevant experience before the beginning of the employment contract, will be €3,637 to €4,978 (scale 11) gross per month, based on 38 hours a week. These amounts are exclusive 8 % holiday allowance and 8.3 % end-of-year bonus. A favourable tax agreement, the ‘30% ruling’, may apply to non-Dutch applicants. The Collective Labour Agreement of Dutch Universities is applicable.

Are you curious about our extensive package of secondary employment benefits like our excellent opportunities for study and development? Then find out more about working at the Faculty of Science.

About the Faculty of Science and the Informatics Institute 

The Faculty of Science has a student body of around 6,500, as well as 1,600 members of staff working in education, research or support services. Researchers and students at the Faculty of Science are fascinated by every aspect of how the world works, be it elementary particles, the birth of the universe or the functioning of the brain.

The mission of the Informatics Institute is to perform curiosity-driven and use-inspired fundamental research in Computer Science. The main research themes are Artificial Intelligence, Computational Science and Systems and Network Engineering. Our research involves complex information systems at large, with a focus on collaborative, data driven, computational and intelligent systems, all with a strong interactive component.

The tenure track position at the assistant professor level will be within the Computational Science Lab (CSL) at IvI. CSL is led by Prof. Alfons Hoekstra and also includes among others Prof. Peter Sloot and Prof. Drona Kandhai, as well as around 25 PhD students and postdoctoral researchers. Other groups within IvI doing research relevant for this position include the Amsterdam Machine Learning Lab (led by Prof. Max Welling) and within UvA the Quantitative Finance (Prof. Cars Hommes) and Mathematical Finance research group (Prof. Michel Mandjes). Prof. Sloot is also the scientific director of the UvA Institute for Advanced Study, which forms an important part of the research ecosystem for this position. The group has strong collaborations with the financial industry (e.g. ING Bank, ABN AMRO Bank and  KPMG) and the Centrum Wiskunde & Informatica (CWI).


Do you have questions about this vacancy? Or do you want to know more about our organisation? Please contact:

  • Prof. Drona Kandhai, Professor in Computational Finance
    T: +31 (0)6 330861691 

Job application

The UvA is an equal-opportunity employer. We prioritise diversity and are committed to creating an inclusive environment for everyone. We value a spirit of enquiry and perseverance, provide the space to keep asking questions, and promote a culture of curiosity and creativity.

The Informatics Institute strives for a better gender balance in its staff. We therefore strongly encourage women to apply for this position.

Do you recognize yourself in the job profile? Then we look forward to receiving your CV and cover letter by 31 augustus 2020. You can apply online by using the button below. 

Applications should include:

  • a motivation letter;
  • a curriculum vitae, including list of publications and taught courses;
  • a research statement (2 pages maximum);
  • a teaching statement (1 page maximum);
  • a list of three references from different institutes.


No agencies please

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