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Joining the Methodology and Models team covering the pricing, counterparty credit, and market risk measurement modelling. The team is responsible for the independent review and analysis of the derivative pricing models used for valuation and risk.
You'll be responsible for the development of benchmark pricing models in an independent C++ library. You'll undertake theoretical analysis and review of pricing models across asset classes, understanding the mathematical models used and their implementation methods. In addition, you'll provide qualitative analysis and stress testing of pricing models used for pricing and/or risk calculation.
Time in a validation role or front Office Quant role.
programming expertise in C++ including library architecture design as well as a theoretical understanding
Familiarity with derivative pricing models, stochastic calculus, partial differential equations and Monte Carlo simulation.
Excellent analytical, presentational, verbal and non-verbal communication skills are essential.