Quantitative Research VP / ED – Investment Bank (Rates Exotics) – / C++ / Python/PHD/Rates/ Derivatives
My client is a top tier bank seeking a person with some experience who can make an immediate contribution while learning our Rates Options/Exotics business and the models they use.
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: Quantitative Research VP / ED – Investment Bank (Rates Exotics) – / C++ / Python/PHD/Rates/ Derivatives - London
- 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
- Desired Skills and Experience
Technical Skills: Quantitative Research VP / ED – Investment Bank (Rates Exotics) – / C++ / Python/PHD/Rates/ Derivatives - London
- 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
- Python
Please do send across to me the most up to date copy of your CV eobiechefu@argyllscott.com or call me on 0207 936 1135
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