Quantitative Research, Rates Exotics – Associate/ VP
Relevant experience would mainly be in Rates derivatives. We 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 derivative
- 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 analytic
- 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
- Degree level in Mathematics or equivalent
Desirable skills/experience:
- Python
For further information please contact John Meadowcroft on 020 7780 6700 / 020 7025 0420, or alternatively via e-mail John.Meadowcroft@AnsonMcCade.Com
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