FX/IR Quantitative Analyst wanted for Top Clearing House recruitment
This Top Clearing House is looking for an exceptional candidate to join the team.
Responsibilities:
-Deliver and support pricing and risk management tools for the FX and IR options business
-Develop code inside C++ analytics library for pricing new products and developing new pricing models in order to improve valuation and risk management of FX and IR options
-Develop a generic PDE solver to be used for various FX and IR products with various underlying models
-Improve current models for pricing multi-currency options to allow pricing for a wider product range
Ideal Candidate will have:
- Experience working with and developing pricing models
-Deep understanding of interest rate curve construction, dual curve pricing, volatility surface (cube), skews, swaptions liquidity, and greeks.
-Development experience with VBA, MATLAB, Monte Carlo, C++, or VBA.
-Strong knowledge of using VBA and Excel (which is heavily used).
-PhD or MSc in Mathematics/Physics or other related subject.
-Strong analytical skills.
-Excellent level of Financial Mathematics i.e. stochastic calculus, PDE modelling, binomial trees, etc.
-Strong communication skills including strong presentation skills
To apply for this position please contact us by submitting your CV in word format to quantexotic@selbyjennings.com or alternatively phone us on +44 207 019 4137