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VP/Director Front office Quantitative analyst - Tier 1 global quant group
February 9, 2018
London, United Kingdom
This cross asset group is reponsible for teh full lifesysle of mode development across all asset classes. having developed a unified pricing library, used by all desk, there is still lots of work to do, hence we have the exclusive mandate to find another solid and talented quant to help develop models for pricing of derivatives.
You will be working on;
Calibration of curves and volatility surfaces, interpolation and extrapolation of data, creation of proxies
Research, implementation and maintenance of models for pricing flow and moderately exotic instruments
Designing algorithms for the automatic and statistical validation of market data.
Taking ownership for documenting and communicating these findings to internal and external clients as necessary.
You'll need to have:
5 years+ of experience in financial modeling and knowledge of market conventions and practices.
Hands-on implementation experience (C/C++ required, Python optional) and best practices in software development, including version control, unit and regression testing.
Strong knowledge of mathematical finance and of numerical techniques employed in derivatives pricing models.
Strong team-player comfortable in a multi-developer environment with interactions with quants, IT groups and product managers.
Good oral and written communication skills.
PhD/DEA in a technical discipline (mathematics, finance, physics, engineering or similar field).
Send your CV for immediate consideration.
Contact ITS City To talk directly with us to discuss this vacancy and the client, please contact Simon Adams on: Email: email@example.com Direct Line: +44 (0) 203 176 6648