Senior Research Fellowship at the Oxford-Man Institute,
University of Oxford
Three year post, starting 1st September 2011
Grade 09S £42,563 - £49,342
(with a discretionary range to £53,981 p.a.)

The fellowships are likely to be accompanied by non-stipendiary College research fellowships, the details of which will be available at the interview stage. If no suitable applicants are identified on the grade 09S then the post may be offered as a Research Fellowship on the grade 08S £36,715 - £43,840 scale (with a discretionary range to £47,905) with an appropriate change in the duties
Job Description
Responsible to:
Professor Neil Shephard, Institute Research Director

Purpose:
To conduct high-quality research in quantitative finance.
Duties
Research:
• To engage in original and objective research in quantitative finance and to lead our
research effort in a specialist area of interest to the Institute;
• To establish a high profile for the new Institute in academia and in the wider
community;
• To train, guide and motivate research students and junior colleagues;
• To work effectively and collegially with colleagues as part of a team, including
participating in running of seminar series, conferences and symposia;
• To be sympathetic to the way researchers from other disciplines approach quantitative
finance.
• To contribute to the planning of the Institute’s research direction and aims;
• To develop collaborations with other institutions and to help develop a international
reputation in a particular area of quantitative finance.
2
Teaching:
The University of Oxford runs two highly successful one year masters courses which are
related to Quantitative Finance. The MSc. in Mathematical and Computational Finance, run
by the Mathematics Department and Computing Lab, started in 2007 and has around 30
students. The MSc. in Financial Economics (MFE) started in 2005 and has around 80
students. It is jointly run by the Economics Department and the Said Business School. The
successful candidate would be encouraged to contribute to the design and delivery of
teaching of one of these courses. Typically this will take the form of teaching an elective in
some aspect of quantitative finance related to the candidate’s research interests. If the
Research Fellow wishes to carry out teaching beyond 24 hours of contact time then they
need the explicit permission of the Research Director of the Institute.
Selection Criteria
• The ability to carry out an independent programme of research;
• An international reputation in research in an area of quantitative finance;
• Significant publication record (commensurate with career stage) and qualifications in
appropriate disciplines for research in quantitative finance;
• The ability to contribute effectively to ensuring the long-term development of
Quantitative Finance in the University and in the wider academic community;
• The ability to initiate, maintain and lead research;
• The ability to work effectively and collegially with colleagues, including participating in
running of seminar series;
• The ability to contribute effectively to teaching at Masters level in Quantitative Finance.
OXFORD-MAN INSTITUTE OF QUANTITATIVE FINANCE
Founded in 2007, the Oxford-Man Institute of Quantitative Finance is an interdisciplinary
research centre in quantitative finance. It is a part of the University of Oxford. It has a
particular focus on alternative investments.
The Institute draws researchers and students from the following Departments at Oxford:
Computing Laboratory, Economics, Engineering, Mathematics, Said Business School and
Statistics. It has its own building in the heart of Oxford, which houses its faculty, post-docs
and students, as well as support staff. It provides excellent research facilities including
outstanding computing and data resources and a well supported seminar program. It also
runs conferences and an annual symposium.
The main feature of the Institute is that it provides space for researchers with an interest in
quantitative finance to pursue their own intellectual agendas, working on topics of their own
choosing, in a supportive environment.
The main financial support for the Institute is from Man Group plc, a FTSE100 company. As
well as providing very substantial long-term funding for the Institute, Man has collocated with
the Institute its own research laboratory. The research laboratory fosters interaction between
the academic world and practitioners.
The following Oxford University faculty are members of the Institute:
Mike Giles, Professor of Scientific Computing. Computational finance working on both Monte
Carlo and finite difference methods.

Georg Gottlob, Professor of Computing Science. Computational finance. Web data
extraction, constraint satisfaction, computational logic, data bases, data base theory.
Chris Holmes, Professor of Biostatistics, Lecturer in Statistical Genetics. Machine learning
and pattern analysis via probabalistic data modelling.
Sam Howison, Professor of Mathematics, Mathematical finance; derivatives pricing; energy
markets; asymptotic methods; market microstructure models.
Terry Lyons, FRS, Wallis Professor of Mathematics. Stochastic analysis, particularly the
control of non-linear systems driven by rough paths; particle filters.
Jose Martinez, Lecturer in Finance. Capital markets, investments and investor behaviour.
Tarun Ramadorai, Reader in Finance. Empirical asset pricing, international finance and
hedge funds.
Stephen Roberts, Head of the Pattern Analysis & Machine Learning Group at Oxford.
Machine learning approaches to data analysis, particularly problems in time series analysis
and decision theory.
Neil Shephard, FBA, Director of the Oxford-Man Institute & Economics Professor. Financial
econometrics. Modelling volatility in continuous time, statistical analysis of time series.
Kevin Sheppard, Lecturer in Economics. Financial econometrics. Measurement, modelling
and forecasting properties of multivariate financial time series.
Thaleia Zariphopoulou, Man Professor of Quantitative Finance. Stochastic evolution of
forward investment performance process, Monotonicity properties of optimal feedback
portfolios, Valuation of early exercise claims under forward performance criteria
Xunyu Zhou, Nomura Professor of Mathematical Finance. Quantitative finance and
Insurance, stochastic optimal control, applied probability and stochastic processes
More details about the Institute are available at: http://www.oxford-man.ox.ac.uk/.
Facilities
The Oxford-Man Institute opened in September 2007. The Institute has grown rapidly since
then and recently relocated to new premises in Jericho (Eagle House, Walton Well Road).
The new building includes a state of the art lecture theatre, double the office space of the
previous building, a large common area on the top floor with lovely views over Oxford and
more space for the Man Research Laboratory, which has also expanded significantly since
the Institute’s opening in 2007.
The Institute provides office accommodation for its faculty and research. It aims to provide
first rate IT facilities for its members and gives each member a personal research allowance
to support their own research. The level of this allowance is determined by the Executive
committee and is currently £5,000 a year. In addition there is generous support for seminar
speakers, visitors, conference organisation, etc.
RESEARCH AND TEACHING IN FINANCE WITHIN OXFORD
Oxford has a strong reputation for high quality research and teaching in various areas
connected to finance, with colleagues working together across traditional disciplinary
boundaries.

We have three formal research groups: Finance Group at the Said Business School, the
Mathematical and Computational Finance Group (which contains within it the Nomura Centre
for Mathematical Finance) and the Oxford-Man Institute of Quantitative Finance. Quite a
number of colleagues are members of two of these research groupings, the groups run joint
seminars and jointly organise the Oxford University Practitioner Lectures in Finance ---
reflecting how well these groups work together. In addition we have a number of informal
groups of researchers, with particular interests in subjects like finance and law.
A significant feature of the Oxford landscape in finance is that research and teaching is
coordinated through the Oxford Financial Research Centre (OFRC) --- which provides a
single portal through which interested parties can learn about our research and teaching. Its
webpage www.finance.ox.ac.uk provides an exhaustive list of researchers at Oxford with an
interest in finance.

How to Apply
Applicants should send a CV including a list of publications, employment history and
education, together with a cover letter and two research papers to personnel@oxfordman.
ox.ac.uk no later than 6 January 2011. Further information about the Oxford-Man
Institute can be found at www.oxford-man.ox.ac.uk.
GENERAL INFORMATION
Salary
The salary offered for the appointment to this job will be based on an annual salary in the
range £42,563 - £49,342 with a discretionary range to £53,981 (University Grade 9 as at
August 2010), depending on qualifications and experience. If you are appointed at a salary
below the top of this range, your salary will automatically be increased each year until you
have reached the top point. Increases beyond this point may be available in certain cases.
There is also an annual ‘cost-of-living’ salary review, which normally takes place in summer
each year.
Holiday
The annual holiday entitlement will be 38 days, including 8 public holidays. Holidays must be
arranged in consultation with the Head of administration.
Pension
The post is pensionable and the postholder eligible for membership of the Universities
Superannuation Scheme (USS), a contributory scheme to which members pay 6.35 per cent
of annual salary. Subject to the University’s Statement of Pensions Policy, which will be
issued to the successful candidate, the appointee will be deemed to be in membership of
USS until such time as he or she gives notice in writing to exercise the right not to be a
member of the scheme. The University’s normal retirement date for academic-related staff is
30 September immediately preceding the 66th birthday, except that, if the successful
candidate can establish vested rights, as defined in the University’s statutes (details available
on request), in retirement at age 67 or later, then the date of retirement will not normally be
later than the 30 September immediately preceding the 68th birthday.
Maternity Leave and Childcare
The University has a generous maternity leave scheme and also offers paternity leave to
expectant fathers and partners, and adoption leave. It offers subsidised nursery places, a
childminding network, a holiday playscheme, and tax and National Insurance savings
schemes. For further information see www.admin.ox.ac.uk/eop/child.

General benefits
More information on the benefits of working for the University is given in the note attached to
these further particulars.
Probationary period
The appointment will be subject to an initial probationary period of one year, during which the
appointment may be terminated by one month’s notice on either side. Following the
successful completion of the probationary period the period of notice would be three months
on each side.
Right to work in the UK
Applicants who would need a work visa if appointed to the post are asked to note that under
the UK’s new points-based migration system they will need to demonstrate that they have
sufficient points, and in particular that:
(i) they have sufficient English language skills (evidenced by having passed a test in basic
English, or coming from a majority English-speaking country, or having taken a degree
taught in English)
and
(ii) that they have sufficient funds to maintain themselves and any dependants until they
receive their first salary payment.
Further information is available at:
www.ukba.homeoffice.gov.uk/workingintheuk/tier2/generalarrangements/eligibility.
The University reserves the right to screen individuals for employment. Any such screening
would be discussed with an individual in advance of its taking place.
Equal opportunities at the University of Oxford
The policy and practice of the University of Oxford require that all staff are offered equal
opportunities within employment. Entry into employment with the University and progression
within employment will be determined only by personal merit and the application of criteria
which are related to the duties of each particular post and the relevant salary structure. In all
cases, ability to perform the job will be the primary consideration. Subject to statutory
provisions, no applicant or member of staff will be treated less favourably than another
because of his or her gender, marital or civil partnership status, sexual orientation, religion or
belief, racial group, age or disability.
Where suitably qualified individuals are available, selection committees will contain at least
one member of each sex.
Data Protection
All data supplied by applicants will be used only for the purposes of determining their
suitability for the post1 and will be held in accordance with the principles of the Data
Protection Act 1998 and the University’s Data Protection Policy.
BENEFITS OF WORKING FOR THE UNIVERSITY OF OXFORD
At the University of Oxford, we are naturally very proud of our outstanding reputation for
scholarship and research. But we are also proud to say that we are one of the region’s
biggest and best-established employers, with a real diversity of staff helping to sustain our
success - from lab assistants, cleaners, technicians and secretaries, to IT, finance and
administrative professionals. Join us, and you can expect to find yourself working in a
friendly, open-minded atmosphere where your ideas will be welcomed, with an interesting
and satisfying job to do, and with plenty of opportunities to learn new skills, or maybe even
get some extra qualifications.
As well as pay and other benefits such as generous holidays and an excellent pension
scheme, we may be able to help you with:
• Training – we train our staff, both in the skills needed for starting the job, and to help
them develop afterwards. If you do not have all the skills we are looking for (e.g.
computer packages), but you know that you are a quick learner, it is worth asking if
training might be available.
• Working hours – we may be able to be flexible about working patterns to help you
combine work with responsibilities at home. Even for full-time jobs, we can often adjust
starting and finishing times, or even sometimes consider term-time-only working: if this
is important to you, let us know.
• Disability – if you have a disability, we have specialist staff who can help you to start
and stay in work.
• Childcare – we have several subsidised nurseries for under-fives, a holiday play
scheme, tax and national insurance savings schemes, and are looking to expand our
facilities. For further information see www.admin.ox.ac.uk/eop/child.
• Parenting – as well as providing childcare facilities, we have generous maternity,
paternity and adoption leave schemes to help new parents on our staff.
• Cultural and religious needs – we respect the cultural and religious lives of our staff.
If you need time away from work, or special facilities, and can give plenty of notice for
arrangements to be made, this will always be considered.
• Travel arrangements – we offer an interest-free season ticket loan scheme for bus or
train season tickets. Annual passes for Oxford Bus Company routes are available at
discounted rates.
• Use of University facilities – all University staff can use the study facilities provided
by University libraries and museums; join the University Club, a sports and social club
which has its own bar, café, and reading room; and make use of the University Sports
Complex and the Pulse fitness centre.
• Discounts – a number of discounts are available to University staff e.g. for insurance,
holiday travel, and computer equipment.
The range of benefits is continuously reviewed and extended. Further details are on the
Personnel website at www.admin.ox.ac.uk/ps/staff/benefits.
If you come from outside the area, you may be interested to know that as well as the famous
tourist attractions such as the ‘dreaming spires’ of all the lovely old buildings, the river, and a
number of attractive parks and gardens, Oxford also has a busy shopping centre and a lively
nightlife, particularly during term time. Housing is relatively expensive within the city, but
nearby areas such as Didcot or Bicester are more reasonably priced. Although car parking is
difficult during the day, there are good train and bus services, including several ‘Park and
Ride’ routes; and, of course, lots of cycle paths.