Quant Analyst recruitment
Experience and Skills Required:
Candidates should possess a Master's or higher degree in a quantitative discipline, with experience in the quantitative modeling of financial instruments and experience in the modeling of derivatives, and strong programming skills. A successful candidate will have hands-on knowledge in several of the following areas:
Calibration and efficient implementation of local and stochastic volatility extensions of the Black-Scholes model.
Efficient calculation of Greeks using Monte Carlo.
Accelerated simulations and semi-analytical techniques for options based on baskets of equities.
Heuristic corrections to the BS pricing for barrier options.
Hybrid modeling with stochastic interest rates.