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The role will require you to develop pricing models taking into account pricing and hedging requirements. As you will be working with the trading team, you will need to produce prototypes of models for complex products within a short time horizon. You will also work with the front office to explain model behaviour and look at scenario analysis.
The candidate should have strong mathematic skills including derivative modelling, probability theory, stochastic processes, partial differential equations and numerical analysis. The team are keen to introduce a statistical element to the projects and so exposure to regression analysis and Bayesian Statistics will be of great interest to the team.
Programming skills would include C++ skills with Python being an added advantage. For the VP role you will need to have used C++ in a commercial environment.
You will need to educated from a top-tier university to at least Master's level in a highly quantitative subject, PhD Preferred