Vice President, Foreign Exchange Desk Strategist recruitment

Position Category: Information Technology

Position Title: Vice President, Foreign Exchange Desk Strategist

Job Level: Vice President

Location: USA - NY - New York

Education Required: Refer to Position Description

Position Description:
Morgan Stanley Co. LLC seeks Vice President, Foreign Exchange Desk Strategist in New York, NY to work with traders and sales desk to perform complex quantitative risk analysis and reporting, and create value added trading strategies, with respect to market conventions and pricing techniques for derivatives in Foreign Exchange, DVA pricing, Structured Bond issuing and pricing, and applicable financial conventions and regulations. Monitor and analyze the effectiveness of existing valuation and risk models, and implement enhancements and new develops as needed, determine and create valuation and risk management models to feed the Firm's books and records for positions that are on the books or about to be purchased/bid upon. Analytically solve multi-dimensional partial differential equations and stochastic differential equations, in order to quickly calibrate derivative pricing models, using partial differential equation theory, complex theory, linear algebra, stochastic calculus and probability, optimization theory, and statistics. Numerically solve various partial differential equations and stochastic differential equations for modern derivative pricing and risk management, particularly for complex derivatives, using finite difference method, Monte Carlo method, matrix manipulation, numerical analysis, and non-linear optimization method. Advise Market Modeling Group to work on Foreign Exchange modeling projects which take longer time to develop and is not feasible for desk strategists to work on in a short time horizon. Participate in building a Morgan Stanley firmwide unified derivative pricing framework to be used for all relevant financial derivatives including Foreign Exchange, Interest Rate, Commodity, Credit and Equity. Build next generation Foreign Exchange trading and derivatives structuring platform utilizing C++, TCL, Python, Perl, VBA, Java, XML, Emacs, VIM, Visual Studio, Eclipse, and VPython on Unix and Windows OS. Assist Emerging Market and Interest Rate's Structured Bond/Notes desk with pricing and risk managing derivatives which have Foreign Exchange, Credit, and Interest Rate components in the payoff.

Skills Required:
Ph.D. degree in Mathematics, Computer Science, Engineering, or related quantitative field or equivalent, and two (2) years of experience building, developing, implementing, and analyzing financial models for valuation and risk management, to support Foreign Exchange, Credit, and Interest Rate trading, including derivatives products, in compliance with market conventions and regulations on behalf of a global financial services institution. Prior experience must include using C++, VBA, Emacs, VIM, Visual Studio, Monte Carlo method, finite difference method, stochastic calculus, linear algebra, partial differential equation theory, complex theory, optimization theory, numerical analysis, probability, and statistics.

QUALIFIED APPLICANTS: Please apply through this website or e-mail your resume to efc97299@msresumes.com. NO CALLS. EOE