Front Office Quant Analyst (PDE expertise) recruitment

Award Winning Global Investment Bank, Singapore
FX Derivative Trading

KEY RESPONSIBILITIES:

Model implement parametric local vol, local-stoch vol, and Jump Diffusion models
Provide trading with models for structured and vanilla exotic option products
Develop mathematical models for pricing new and existing products
Implement models in numerically stable and fast algorithms that are timely robust and easy to understand
Implement models for the risk management system and front office pricing environment
Assist the trading team in pricing and assessing the risk of complex transactions
Support pricing tools and the risk management system from a quantitative point of view
Effectively interaction with Trading, Risk Management, Model Validation and IT

KEY REQUIREMENTS:

2 to 5 yrs’ hands on experience in a Front Office Quant Analyst role (any asset class)
PhD or Masters educated in Numerical field (Finite Methods, Numerical Analysis etc)
A strong background working on, solving and implementing PDE’s is essential
Strong experience of vanilla exotics pricing (PDE, Local Stoch Vol, Heston, SABR, Mixed Smile, Range Accrual products), Vol Surface Modelling (Malz, SABR, modified SABR etc) Model Calibration
Hands on experience on Heston calibration, and its parameter estimation
Able to explain complex ideas in a clear manner to trading, sales, and management
Team-player, willing to share ideas learn from others
Very strong programming skills in C, C++, Excel VBA

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