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Develop and implement new Pricing model in existing FO library
Review new pricing codes, covering consistency checks, the verification of P&L explanations and validating the numerical methods used.
Build out and enhance the pre-existing quantitative models through developing alternative modelling tools that follow set objectives and documented approaches, benchmarking of results with the validated model, error tapping and recovery.
Performing detailed quantitative analysis to assess model performance through analysing model outputs (benchmarking, sensitivity analysis, limiting case testing).
Communicating model review findings and recommendations to the front office traders, tech teams and model developers.
Responsible for ongoing monitoring of internal models
PhD or a Masters degree in Quantitative Finance, Mathematics, Physics, or other science disciplines.
Experience working in capital markets, focusing on the Pricing of derivatives, model risk, validation, model development or testing pricing models and knowledge of financial products i.e. FX/FI/IR/Cross-currency swaps.
Excellent understanding of Stochastic Calculus applied to quantitative finance and numerical optimisation techniques