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Morgan Stanley & Co. LLC seeks an Associate, NA Derivative Product Strats in New York, New York
Responsible for creating primary models for new products. Perform sophisticated quantitative analyses on the markets. Deliver innovative ideas using models to analyze new opportunities for complex derivatives. Create, develop, execute, and risk manage these trades, building new tools and constructing models to help traders analyze risks on their books. Perform in-depth business analyses in order to develop trader-efficient tools for use with the derivatives business. Understand and analyze a broad spectrum of Morgan Stanley's financial products, ranging from vanilla single asset equity options to hybrids involving multiple equity, foreign exchange, inflation, credit, and volatility assets.
Requires a PhD in Mathematics, Statistics, Finance, or related field of study and one (1) year of experience in the position offered or one (1) year of experience as an Associate or related occupation. Will accept a Master's degree and three (3) years of experience in lieu of a PhD and one (1) year of experience. Requires one (1) year of experience with the following skills: programming in C++, Scala, Python, and Q/KDB+; mathematics and modeling; object oriented principle; C++ design pattern; numerical algorithms including numerical optimization techniques, finite difference method, finite element method, Monte Carlo simulation, dynamic programming, linear programming, sequential quadratic programming, and binomial tree; stochastic calculus; partial differential equations; derivative pricing and risk-neutral measure theory such as change of numeraire (T-forward measure), team structure models (HJM and LIBOR market model); inflation derivative pricing (year-on-year cap/floor, UK inflation bond); yield curve calibration for all major currencies (USD, EUR, GBP, JPY); credit curve calibration (hazard rate model with recovery rate); swap and swaption pricing (SABR model); Bermudan callable bond pricing using LSM (Longstaff and Schwartz method); callable equity linked structured note modeling (Gaussian based short rate model with hazard rate model); option pricing theory; implied volatility surface construction and expansion; and optimal control pricing strategy and game theory.
Qualified Applicants : To apply, visit us at http://www.morganstanley.com/about/careers/careersearch.html Scroll down and enter 3102972 as the "Job Number" and click "Search jobs." No calls please. EOE Morgan Stanley Use Only: *LI-DNI