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My client is seeking someone to join the Quantitative Research team focused on Interest Rates and/or Rates Hybrids modelling. Relevant education would be in the area of Financial Mathematics, with focus on IR and hybrids models and programming. You will be expected to share in a balanced mixture of responsibilities, including model research and development, model documentation, pricing and risk investigation, product-specific analysis, software development and discussions with the trading desk.
Develop models and implement them in C++ for pricing and risk managing derivatives.
Rapid prototyping of models and products; benchmark and compare results of various techniques.
Explain model behavior and predictions to traders and controllers, identify major sources of risk in portfolios, carry out scenario analysis, provide guidance / debug analytics.
Write well-formulated documents of model specification and implementation testing.
Essential skills, experience and qualifications:
Strong software development and C++ skills.
Strong analytical and problem solving abilities.
Excellence in probability theory, stochastic processes, partial differential equations, and numerical analysis.
Good communication skills, both oral and written.
PhD or equivalent degree from top tier schools/programs in Mathematics, Mathematical Finance, Physics or Engineering.