Hybrids/Exotics Derivatives Quant
They are looking for somebody with experience who can make an immediate contribution while learning their Rates Exotics business and the models they use. Relevant experience is not limited to Rates and could be across Rates exotics, FX hybrids, Inflation, Credit hybrids and Flow Rates options.
The ideal candidate would have 3-4 years experience minimum in a similar role and industry.
Core Responsibilities:
- Develop models and implement them in software for pricing and risk managing derivatives
- Develop pricing and calibration tools
- Implement products using pricing engines and models
- Explain model behaviour and predictions to traders, identify major sources of risk in portfolios, carry out scenario analyses, provide guidance / debug analytics
- Rapid prototyping of models and products
Essential skills, experience and qualifications:
- Minimum 3 years experience
- Excellence in probability theory, stochastic processes, partial differential equations and numerical analysis
- Very strong analytical and problem solving abilities
- C/C++ coding with emphasis on numerical methods
- MSc or PhD level in Mathematics or Quantitative equivalent
- Coding/Hacking skills
For further information please contact Alan Simpson on 020 7780 6700 / 020 7025 0420, or alternatively via e-mail Alan.Simpson@AnsonMcCade.Com
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