Quantitative Research – Associate/VP – Rates Exotics/Options recruitment
Relevant experience would mainly be in Rates derivatives, but could also be in related areas such as inflation or single-name credit. They expect the person to share in a balanced mixture of responsibilities, including model research and development, pricing and risk investigation, discussions with the trading desk, and software development.
Core Responsibilities:
• Develop models and implement them in software for pricing and risk managing derivatives
• Develop pricing and calibration tools
• Benchmark and compare results of various techniques
• Implement products using pricing engines and models
• Explain model behavior 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:
• 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
• Good communication skills.
• PhD or equivalent degree in Mathematics, Mathematical Finance, Physics or Engineering
Desirable skills/experience: Python
For further information please contact John Meadowcroft on 020 7780 6700. Alternatively forward your CV to John.Meadowcroft@AnsonMcCade.com