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Front Office Equity Quantitative Analyst l Global Investment Bank l NYC
After an exceptional Q1 the Global Head of Quants at a top tier investment bank in NY has just given headcount approval for the equity derivative business line for one additional headcount. Given the success of the existing models, the group has now been allocated additional funding to research and explore new products and expand on their existing models. Due to the green field aspect of this initiative, you will not only be tasked with 360 model development and implementation of the models but also a significant amount of industry research.
Given the nature of the position, they are ideally targeting idea generators and candidates that have worked on green field equity derivative platforms.
Responsibilities for Front Office Equity Quantitative Analyst
Participate in research and idea generation in collaboration with senior equity business line stakeholders (ie. Equity Traders, Equity Structurers, Global Head of Equity Quants and Global Head of Quants).
Develop and implement new equity derivative pricing models in C++.
Take ownership of new model approval and model implementation in conjunction with Model Validation, Market Risk and Technology teams.
Improve C++ benchmark models for convertible bonds.
Maintain pricing models that enable hedging of multi-callable range accrual swap, inverse/capped floater based on PDE/MC
Qualification for Front Office Equity Quantitative Analyst
5-10 years of applied experience working on a competitors FO equity quant team
Ph.D in a Quantitative discipline (Physics, Mathematics, Statistics, Computer Science, etc.)
Strong Object Oriented Programming skills (C++)
Expertise in Monte Carlo Simulation, Stochastic Calculus & Partial Differential Equations.
Perfect written and verbal communication
Must have worked as an author or co-author of peer-reviewed publications
This team will allow you to work in a competitive front office environment where you will have the unique opportunity to perform significant amount of new research that will have a direct impact on the businesses pnl.
If you are looking to become part of a rapidly expanding investment bank that has seen 20% growth in the last year alone please apply and we will reach out!