AVP
Knowledge: IR swaps, CMS swaps, Bermudan swaptions, European swaptions, futures, yield curves, (OIS vs Libor), vol surfaces
Client-interfacing pricing role in London with a privately-held firm. Manager is looking for someone with a few years experience in Pricing/valuations/Structuring/Trading. Someone who can go into the core issues of derivative pricing is needed, not just a model user.
Opportunity for quick career progression within a very fluid team who favours entrepreneurial candidates with a genuine passion for a role has a solid mix of technical and cultural fit.
Duties accountabilities
- Working on the quantitative, analytical and technological development of exotic interest rate and inflation derivative valuation capabilities
- Providing on-going communication to clients on any issues relating to exotic interest rate and inflation derivative valuations including the co-ordination of complex client trials and addressing non-standard queries and price challenges
- Enhancing existing pricing models or specifying / building / testing / calibrating pricing models to support new products within these asset classes
Type of skill set needed:
- 2-4 years experience pricing interest rate or inflation valuation models (vanilla and exotic) with calibration to the traded markets is essential
- Knowledge: IR swaps, CMS swaps, Bermudan swaptions, European swaptions, yield curves, (OIS vs Libor), vol surfaces
- Familiarity with the use of standard pricing models in IR markets
- Excel VBA. Some SQL possibly
- Client-facing experience desirable
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