Manager - Quant - Equity Exotic

Manager Quant (Equity Exotic)

MNC Shared Services

Location : Mumbai

The Quants India team supports the EMEA Equity Exotics Quants in London in their efforts towards improving risk management for exotic equity products. The team assists in implementing and validating the implementation of exotic products/ models/ risk management framework.

Responsibilities:

Individual will perform as a contributing member in:

- Designing and Implementing models/methods/products in the legacy software

- Creating and implementing tests to validate risk management frameworks for exotic equity derivatives

- Contribute towards debugging and implementation of risk management frameworks

- Understand business requirements and translate those into deliverables.

- Identify and eliminate possible obstacles and identify alternative solutions

- Effectively communicate business, technical and product information at all levels

Required Skills :

- Minimum of 3 years of development experience is a must, esp. in C++, Python, Excel/VBA, and Structured Query Language (SQL). Knowledge of Standard Template Library (STL) and Data Structures is a must.

- Strong Quantitative skills. Knowledge of following is compulsory:

- Stochastic calculus (Markov processes, Ito’s lemma, Martingales etc.)

- Differential Equations (Stochastic Differential Equations, Partial Differential Equations)

- Time series Analysis

- Probability theory

- Numerical Methods (Finite Difference etc.). Control Variates. Monte Carlo Simulation

- 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)

- Models (Single factor, Multi factor, Mean Reverting etc) such as:

- Local Beta

- Hull-White Local Volatility 2 Dimensional Partial Differential Equation (PDE)

- Markov Functional

- Uncertain Volatility

- Black Scholes

- Local Volatility

- Heston model

- Merton Jump Diffusion model

- Greeks (such as Volga, Vega, Gamma, Theta, Delta, etc.)

- Attention to details

- Willingness to learn

- Strong work ethic

- Strong Written and Oral Communication

- Team player

Desired Skills:

- Good Coomunication / presentation skills