AVP/VP Quant Analyst
This manager is looking for a Quant Analyst with 2-4 years experience ideally from Investment banking, strong C++ and excellent model development skills.
Department overview:
This Portfolio Valuations division provides an independent, post-trade valuation service to buy-side institutions globally, covering vanilla and exotic derivatives, cash instruments and structured notes across all asset classes.
The Quantitative Analytics Group is responsible for researching and implementing the pricing models and other complex analytics used by Portfolio Valuations and other areas within the company.
Position summary
London lead for equity and FX quant responsible for research and development of valuation and risk management models.
Duties accountabilities
The role involves working on various issues related to modeling, pricing and risk management of equity and FX derivatives. Typical research tasks range from improving the methodology used to interpolate and extrapolate the implied volatility surface to designing models for pricing correlation swaps. On the development side the candidate will need to design and implement valuation models in java and extend and support existing code.
Business competencies
Education and experience
PhD in quantitative subject (physics, computer science, mathematics) is preferred
Front office experience developing models for an equity or FX desk.
Experience with the full cycle of model development - from research to implementation, documentation, delivery and support.
Deep understanding of fundamental mathematics, probability, stochastic calculus.
Strong problem-solving abilities.
Good knowledge of the basis of computer science and numerical calculus.
Sound grasp of at least one mainstream language and commercial experience with object oriented programming and design.
Previous experience in exotic option pricing is advantageous, but not required
Personal competencies
Ability to work in a fast-moving environment with multiple goals and tight deadlines.
Excellent communication skills - It is crucial for the candidate to be able to explain complex quantitative problems in terms understandable to our product specialists and potentially clients.
Ability to be productive within a team as well as independently
Please apply into Quantexotic link below.
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