Quant Manager - Stochastic Calculus

Following opportunity is with one of the leading Banks (Mumbai)

Detailed Role description

Role includes:

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

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

- Spotting bugs/errors in implementation and fixing them

- Contribute towards debugging and implementation of risk management frameworks

- Programming in Python and C++

Skills Required:

Strong Quantitative skills. Expert knowledge of following is compulsory:

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

2. Differential Equations (Stochastic Differential Equations, Partial Differential Equations)

3. Time series Analysis

4. Probability theory

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

- Expert 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

Templates

Variance and Corridor Variance Products

Worst of Barrier

Overnight/Geared share repurchase (OSR/GSR)

Cappuccino-Stellar

Timer Option

Uncertain Volatility Model (UVM) Portfolio

Advanced knowledge of Equities and basic knowhow of Fixed Income

Derivatives Trading Strategies

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

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

- Attention to details

- Willingness to learn

- Strong work ethic

- Strong Written and Oral Communication

- Team player

Candidates with at least 2-3 years of relevant experience in application of mathematics in the field of finance and an inclination towards programming.

Shift Type (Rotational Shifts/Fixed): Fixed

Process Timings: 11 AM – 8 PM

Weekends Off (Y/N): Y

Kindly acknowledge the receipt of this mail by reverting with your updated CV.

Pankti Parekh
022 42315533
Ikya Human Capital Solutions Pvt Ltd
pankti@ikyaglobal.com