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This position is to be part of a global equity quant team, based in London. The role will include working on improving our existing exotic models, including issues of model suitability, calibration, speed and accuracy. It will involve working closely with trading and control functions to ensure the models are suitable, and with IT to make the changes available in production
Your background should be:
Degree in a mathematical or scientific subject (PhD preferred but not essential).
Experience in a front-office equity quant team working directly with trading and structuring on complex structured products.
Experience of implementing exotic models such as stochastic local volatility, future skew and correlation skew in a front-office quant library.
Good understanding of, and experience with, numerical methods such as PDEs and Monte Carlo simulation.
Strong C++ programming skills with a particular emphasis on writing well-designed, well-tested maintainable code
Send your CV for immediate consideration.
Contact I.T.S City
To talk directly with us to discuss this vacancy and the client, please contact Simon Adams on: