Senior Quant Analyst - Derivatives Pricing
5 days left
- Full Time
The role requires working closely with the model development or validation team of a large global bank. Responsibilities include developing new models, enhancing and improving, and validation or documentation of existing models.
The successful candidate will have 3 + years of relevant experience and sound knowledge and exposure to pricing models across different asset classes. This will include experience applying quantitative techniques for pricing of complex derivatives in one or more of the areas across Rates, Equity, FX, Credit, Hybrids.
Key responsibilities include:
- Understanding business requirements
- Determining appropriate modelling methodologies
- Model implementation and testing
- Building prototypes
- Validating the models based on prescribed guidelines
- Model documentation and review
- PhD in Mathematics, Physics, Engineering, Computational Finance or a similar quantitative discipline, or a Masters in Financial Engineering (MFE), with relevant experience
Skills and Experience:
- Good mathematical and numerical skills, with excellent knowledge of quantitative finance and concepts like Brownian motion, PDE, Monte Carlo simulations, Finite Difference methods etc.
- Experience in development/validation of pricing models across asset classes, with strong experience in at least one working closely with Front Office
- Sound knowledge of standard tools and platforms used in the industry
- Comfortable programming in one or more of the following C++/C#, Java, Python, R etc.
- Excellent documentation skills and the ability to explain complex concepts with ease
- Good communication skills, team-work and flexibility