A tender is hereby opened for the award of 1 Research Grant(s) (RG)in the scope of the thematic line Inverse Problems in Health Sciences of the Center for Research and Development in Mathematics and Applications (CIDMA), ref. UIDP/04106/2020,under the following conditions:

1. Scientific Area: Mathematics and related areas

2. Funding Source: Foundation for Science and Technology, I.P./MCTES, through national funds (PIDDAC)

3. Admission Requirements:

Students enrolled in a master program in Matematics. The following skills will be valued: initiative, critical thinking, good programming skills, and autonomy.

The proof of enrolment must be made available until the contract is awarded, and the candidate may attach a declaration of honor to confirm that they meet the requirements for enrolment in an integrated master's degree, master's or doctoral program.

If the qualification has been conferred by a foreign higher education institution it must be recognized by a Portuguese higher education institution, under the terms of the provisions of article 25 of Decree-Law no. 66/2018, of August 16th, which approves the legal regime of recognition of academic degrees and diplomas of Higher Education, attributed by foreign higher education institutions, and of paragraph e) of no. 2 of article 4 of Decree-Law no. 60/2018, of August 3rd, and any formalities established therein must be fulfilled by the date of the hiring act.

4. Eligibility: Applicants are eligible if they comply with paragraph a) of no.1 of article 2, of the Research Fellow Statute as amended by Decree-Law no. 123/2019, of August 28th, as well as nos. 1 (and 2) of article 6 and article 9 of the Research Grant Regulations of the Foundation for Science and Technology.

5. Work plan: Longstaff-Schwarz method for pricing callable products is widely accepted in financial industry. It exploits multidimensional linear regression as universal approximator for conditional expectations as a function of a process state. The aim of this research project is to implement and compare effectiveness of methods proposed recently in [AP] for pricing callable range notes.

[AP] Antonov, A., & Piterbarg, V. (2021). Alternatives to Deep Neural Networks for Function Approximations in Finance. Available at SSRN 3958331.

[G] Glasserman, P. (2004). Monte Carlo methods in financial engineering (Vol. 53, pp. xiv+-596). New York: springer.

6. Applicable legislation and regulations: Statute of Scientific Research Grant Holder, as amended by Decree-Law no. 123/2019, of August 28th; Regulation no. 950/2019, of November 29th, published in Diário da República, no. 241, Series II, of December 16th (FCT, I.P. Research Grants Regulation); Decree-Law no. 66/2018, of August 16th (Legal regime for recognition of academic degrees and diplomas of higher education awarded by foreign higher education institutions).

7. Workplace: The work will be carried out at the Center for Research and Development in Mathematics and Applications of the University of Aveiro, under the scientific supervision of Professors/ Doctors Evgeny Lakshtanov and Uwe Kaehler.

8. Duration of the grant(s): The grant duration will be 5 months, starting in 01 of March of 2023, without renewal. Under no circumstances shall it exceed the limits defined in nos. 3 and 4 of article 6, of Regulation no. 950/2019, of November 29th, published in Diário da República, no. 241, Series II, of December 16th (Research Grants Regulation of FCT, I.P.).

9. Amount of monthly maintenance allowance: The amount of the grant corresponds to €875.98, according to the table of monthly maintenance allowance amounts set out in Annex I of Regulation no. 950/2019, subject to any updates that may be applicable, under the terms of no. 2 of article 18 of Regulation no. 950/2019, of November 29th, published in Diário da República, no. 241, Series II, of December 16th (Research Grants Regulation of FCT, I.P.). The fellow may also be reimbursed for the amount corresponding to the Voluntary Social Security, in case of adherence to this plan

10. Selection methods: The selection methods to be used will be the following: Curriculum Vitae relevant for the application (70%) and interview (30%). The interview will take place on a date to be defined by the jury and may be in person or virtual, with candidates being contacted for this purpose. The Selection Jury reserves the right not to admit any candidate from among those who present themselves in the competition, in case the desired requirements are not met (total final classification greater than 50%).

11. Composition of the Selection Jury:

· Chair of the selection Jury: Prof. Dr. Prof. Dr. Paula Cristina Supardo Machado Marques Cerejeiras, CIDMA;

· 1st permanent member: Prof. Dr. Uwe Kaehler – CIDMA;

· 2nd permanent member: Prof. Dr. Evgeny Lakshtanov – CIDMA;

· 1st alternate member: Prof. Dr. Milton dos Santos Ferreira, CIDMA;

· 2nd alternate member: Prof. Dr. Nelson Felipe Loureiro Vieira – CIDMA.

12. Deadline for applications and how to submit applications: The call is open from 20 of December 2022 to 03 of January 2023, and only applications submitted within the deadline will be admitted.

Applications must be formalized by sending a letter of application accompanied by the following documents: Curriculum Vitae, certificate of qualifications, declaration of honor and other supporting documents deemed relevant. They shall also indicate the e-mail address to which by such indication they accept to be notified for all purposes within this procedure. Applications should be sent by email to pceres@ua.pt with cc. to ukaehler@ua.pt and lakshtanov@ua.pt with subject “BI LtPICS-2023A”.

13. Form of publication/notification of results: The final results of the evaluation will be published through an ordered list by final mark obtained posted on the University's website, within 90 working days after the final date of submission of the application, and the successful candidate will be notified by email. For the purposes of prior hearing of interested parties, the deadline of 10 working days is set, as provided for in the Code of Administrative Procedure. At the end of the period for hearing the interested parties, and in the absence of any response from them, the list of candidates will become final. Candidates may lodge a complaint against the final decision within 15 working days, or appeal to the maximum executive body of the funding entity within 30 working days after notification of the final decision, in accordance with the provisions of article 12 of the Research Grants Regulation of the Foundation for Science and Technology.

14. Tender duration: The final ranking list of candidates will be valid until 01 February 2023 for the purpose of constituting a reserve list for selection.

The models of the grant contract and of the final report to be prepared by the grant holder and the supervisor are available at Research fellows - sgrh - Universidade de Aveiro (ua.pt).

More information available at https://cidma.ua.pt/calls