Head Quantitative Analyst – Flow and Exotic Rates to lead a project to build an Options business recruitment
This is a very exciting, green field project.The head analyst will report into the Head of Analytics and will be heavily involved in the day to day modelling, implementation and support work in the front office with the help of a team.
Major responsibilities:
- Build models in the existing analytical library
- Ability to work with the Interest Rates desk to provide support to the desk to produce new product and enhance existing models
- Undertake the process of validation of any models with the model validation team
- Provide quantitative support to traders, sales and IT teams
- An ability to lead a team and collaborate with other team members is mandatory
- The successful candidate must be client focused and have strong communication skills that will enable them to negotiate work with the various business units to meet their requirements
- Work to help offload workloads for other team members when and if required
- Improve efficiency of current processes and systems
- Mentoring more junior quantitative analysts in the team
Qualifications:
- Must have successfully implemented term structure models, i.e. Hull White, HJM and LMM for one, two or more factors in addition experience with SABR models
- Must be able to demonstrate knowledge of pricing various Rates products
- A thorough understanding in the use of numerical techniques such as Finite Differencing and Monte Carlo to model stochastic processes
- Min. 4 years development experience in C++ with the latest Object Oriented techniques as well as Excel VBA
- Experience with Murex, understanding how models are configured and what pricing techniques are used
- Experience in using source code management tools such as Subversion is mandatory
- Ability to apply rigorous product versioning
- The successful candidate will have excellent formal qualifications in a PhD or Masters by Thesis in a highly mathematical discipline
Desirable
- MatLab
- Unix/Linux experience
This would suit an experience quant at Director/MD level in an Investment Bank who has either lead a team previously or a senior, experienced candidate who has worked under a mentor and ready to take on a challenge.
You need to be mobile and ready to join the team in the coming months.Also open to capable, talented candidates with experience in Software companies. Only those mobile and in a position to move should apply.
For more information contact Lisa Powrie +612 8252 8810 / lisa.powrie@tardis-group.com or click on the "Apply now" button to submit an application