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Morgan Stanley's Equities Derivatives division is looking for a strategist/quantitative analyst for its Corporate Derivative Strat team. Corporate Derivative Strategists are key participants, together with traders, in the revenue-generating and risk management activities of our Sales & Trading Division. Corporate Derivative Strategists are the primary modellers for new products for the Corporate Derivative desk, and team with the traders to deliver innovative ideas using models to analyse risks and opportunities in the corporate trading books.
Corporate Derivative Strategists are responsible for implementing and supporting the models used in all of derivative trading. They also look after automation of the derivative product flow, including pricing methodology, control of the pricing platform and automated booking. They also assist with tooling for derivative trading, to improve the risk management and hedging infrastructure.
What will you be doing? â?¢ Implement new models and algorithms for the valuation of derivatives and support the existing analytics library â?¢ Conduct analysis of complex trade to assess the best pricing method â?¢ Analyse and manage the risk of the positions currently in the book â?¢ Create tools to assist decision making & increase efficiency in sales and trading
What we're looking for? â?¢ An advanced degree in a quantitative subject such as Engineering, Applied Mathematics, Physics, Software Engineering is mandatory â?¢ Very strong modelling skills, with knowledge of equity derivatives models a strong plus â?¢ Very strong programming skills in an object-oriented language applied within the library of a front office team â?¢ Good knowledge of Probability, Numerical Analysis, Stochastic Calculus, Approximation theory, Partial Differential Equation and an expertise in either of these subjects â?¢ Drive and desire to work in an intense team-oriented environment. â?¢ Ability to communicate effectively in both written and verbal English.
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