OTC Derivatives-Dual Curve Pricing – Quantitative (PhD) – New York recruitment
The Candidate will join a team that is developing state of the art dual curve valuation models that incorporate market segmentation, counterparty risk and interest rate dynamics. Candidate must have a PhD and have a deep understanding of volatility surface (cube), skews, Greeks and swaptions liquidity. The Candidate must be a hands on developer [C++, Matlab, VBA] who has worked on interest rate curve models. Ideal Candidate will have 3+ years of experience building swaptions risk models. Strong Communications skills are a strong requirement. This opportunity is for someone who can help determine and shape the derivatives trading environment as the industry adjusts to increased transparency in anticipation of regulatory changes.
Keywords: Dual Curve Construction, swaptions, OIS discounting, interest rate swaps, cross currency swaps, PHD, C++, Quantitative Developer, Dual Curve Pricing
Refer to Job#19363-EFC and email MS Word attached resume to Jim Geiger, jeg@analyticrecruiting.com or register online at www.analyticrecruiting.com choosing Jim as your contact recruiter.