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An investment bank in London are looking for an experienced XVA Quant to help established the desk in their London office. This is a greenfield project where the ideal candidate would be responsible for building out the XVA Quants desk as well as day to day development of the XVA infrastructure and mathematical models.
Address theoretical aspects of XVA derivatives pricing and implementation in C++
Develop, maintain, and improve existing XVA models, tools, and operational framework
Develop pricing models for the trading desks
Development of the XVA infrastructure in C++
- PhD in a quantitative field - 2+ years experience - Strong understanding of stochastic calculus, derivative pricing theory, and FX/Rates/Inflation theory - Strong knowledge of C++ - Python knowledge is a plus
Internal Number: 6106333
About Selby Jennings UK
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