Quant Developer – Equity Derivatives recruitment
Global Investment Bank
Front Office Quant Analytics
KEY RESPONSIBILITIES:
- Rewrite the excel pricing spreadsheet
- Implementation work in the pricing library
- Respond to traders queries by modifying the C++ library
- Modify the interface (written in VBA C#)
ESSENTIAL SKILLS EXPERIENCE:
- Strong academics in a scientific field; good knowledge of math numerical analysis
- 2-3yrs working as a quant developer in a leading financial institution (Equity Derivatives or FX)
- Good knowledge of extraction and manipulation of data from Reuter and Bloomberg
- Experience of Option Volatility Surface implementation, PDEs Monte Carlo simulations
- Good knowledge of Local vol model; Stochastic vol / Heston model; Local stochastic / hybrid vol model; exotic products (including multi barriers, range accrual, rainbow, accumulator, hybrids etc)
- Strong programming skills in C++, C#, VBA, XML and Java
December 6, 2011
• Tags: Equities careers in the Hong Kong SAR, Quant Developer – Equity Derivatives recruitment • Posted in: Financial