Posted By
Posted in
Banking & Finance
Job Code
1463079
Principal Responsibilities:
- This is a Quantitative Analyst position in the FX Option team, which is responsible for designing, developing and supporting the FX models and analytical tools used by the FX Option desk to facilitate trading, risk management and product development.
- The role also includes analysis of underlying data sets, identification and resolution of issues in modelling, as well as front-end support for the end users of the systems and models the team develop.
Key tasks:
- Working closely with the rest of the FX Options Quant team on the new model development.
- All phases of the development cycle including model design, testing, and documentation.
- Bug fixes and assist with model integration issues.
- Develop new components, code optimization and other enhancements the Quant Library.
- Rapid identification and resolution of any issues in the models/tools.
- Working closely with independent model review team, product control valuation team.
- Monitoring and documentation of FX models.
- Working with the rest of the FX option quant team, the traders/structurers (model users), and support functions
Qualifications:
- A degree based on mathematical finance, science or maths subject from a top tier university
- Knowledge of the standard pricing models used in the investment banking industry
- Solid background in stochastic processes, probability and numerical analysis. Physics, Engineering or similar subjects is desirable, but not strictly required.
- C++ or python experience
- Excellent communication skills
- Ability to work in fast-paced environment with proven ability to handle multiple outputs at one time
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Posted By
Posted in
Banking & Finance
Job Code
1463079