OTC Derivatives-Dual Curve Pricing – Quantitative (PhD) – New York recruitment
The Candidate will join a team that is developing state of the art dual curve valuation models that incorporate market segmentation, counterparty risk and interest rate dynamics. Candidate must have a PhD and have a deep understanding of volatility surface (cube), skews, Greeks and swaptions liquidity. The Candidate must be a hands on developer [C++, Matlab, VBA] who has worked on interest rate curve models. Ideal Candidate will have 3+ years of experience building swaptions risk models. Strong Communications skills are a strong requirement. This opportunity is for someone who can help determine Read more […]