My client, a leading global investment bank, has a Quantitative C++ model library that covers FX Options, Commodities and Credit (flow and structured). The team is split into four sections covering Quantitative modelling, Pricing and distribution, Electronic Trading & finally Risk tools.
The Quantitative team is looking for 2/3 additional resources to help drive the Quant Model Platform (RMS) to the next level. They are looking for candidates with an expert level of C++ with a very strong Maths background, ideally PhD level in either Maths, Physics or another Maths centric subject. You will be involved in the following projects;
– Jump diffusion and stochastic volatility models in the context of equity and foreign exchange exotic option pricing using Monte Carlo and finite difference methods
– Pricing of long-term FX and interest rate hybrid products
– Developing, implementing and maintaining financial pricing models and numerical methods across FX Options, Commodities and Credit
– Responsible for integrating models for exotic foreign exchange derivatives to the Main Quant general asset class library including model selection, evaluation, implementation, validation, and calibration.
– Providing Excel based and stand-alone tools for Trading and Sales. Analysing trading and hedge strategies. Developing of structured products with Sales.
They are looking for junior staff with little or no commercial experience, right up to experienced Quant developers with up to 10 years experience. Please call me directly if you would like to know more information about this role; Des Stockdale on 020 7618 6447 or e-mail at email@example.com.