Analyst/Senior Analyst/Associate - Quant Analyst - Derivative Pricing

One of our leading clients in Mumbai is looking for C++ programmers with strong work experience in Derivative pricing.

Designation: Analyst / Senior Analyst / Associate

Experience: 1 - 10 Years.

Qualification : Top Tier 1 Institutes

Skill Set: Derivative Pricing, C++ or Python Programming

Shift: 12:30 PM to 09:30 PM.

Location: Andheri East, Mumbai.

Required Skills

Strong Quantitative skills. Knowledge of following is compulsory:

Stochastic calculus (Markov processes, Itos lemma, Martingales etc.) & Risk Neutral Pricing

Numerical Methods (Finite Difference, Monte Carlo Simulation etc.)

Knowledge of Quantitative Finance is compulsory including:

Vanilla and Exotic Derivative Products (Options, Futures, Swaps, Exotics such as Cliquets, Rainbows, Cappuccinos/ Stellars, Share Repurchases, Timer Options, Variance Swaps, Quantos. Compos, CDOs, Credit Default Swaps)

Models (Depending on the particular asset class):

Rates: Libor Market Model, HJM etc

FX & Equity: Black Scholes, Local Volatility, Stochastic Volatility Models

Credit: CVA/DVA calculation

VAR etc

Note : Candidates can apply only from relevant experience and Education from Top Tier 1 Institutes.