9508775 Avellaneda The University-Industry Cooperative Research Programs in the Mathematical Sciences are programs designed to establish a mechanism for exchange of mathematical scientists between academia and industry at different stages of their careers. These programs will strengthen the links between industry and academia and identify and encourage new avenues of research in the mathematical sciences. The University-Industry Postdoctoral Research Fellowships provide two years of support for recent recipients of doctoral degrees in the mathematical sciences. These awards are a means of contributing to the future vitality of the scientific effort of the nation. The postdoctoral fellow will work closely with scientific advisors from both academia and industry. The postdoctoral fellow will work under the direction of Joseph Langsom at Morgan Stanley Co. and Marco Avellaneda at the Courant Institute of Mathematical Sciences, New York University. The research concerns models for the dynamics interest rates and applications to pricing and hedging interest-rate derivative securities, such as call and put options on U.S. Treasury bonds. This activity touches upon several areas of applied mathematics, including analysis of multidimensional stochastic differential equations, linear and nonlinear parabolic partial differential equations, numerical modeling and Monte Carlo simulation.
