Senior Role - Equity Derivatives Pricing Model Development - Bank

We are currently seeking candidates for the role of Equity Derivatives Pricing Model Development on behalf of our esteemed client. This position offers an exciting opportunity to join their team in either Mumbai or Bengaluru.

Role: Equity Derivatives Pricing Model Development (VP & Above)

Location: Mumbai/Bengaluru

Company: A Leading Global Bank

Key Responsibilities:

- Developing advanced pricing models and systematic hedging strategies for equity derivatives along with people management experience

- Implementing these models in our quant library and trading/risk platforms, carrying out testing and writing documentation

- Working closely with stakeholders across -traders to solve problems and identify opportunities, front office and Model Validation teams

- Maintaining strong links with the machine learning and quant finance research communities, supervising projects, publishing and presenting academic papers

- Identifying major sources of risk in portfolios, explain model behavior by carrying out scenario analyses, develop and deliver quantitative tools

- Assessing the appropriateness of quantitative models and their limitations, identifying and monitoring the associated model risk

- Implementing risk measurement, valuation models or algorithmic trading modules in software and systems

- Designing efficient numerical algorithms and implementing high performance computing solutions

Required qualifications, capabilities, and skills

- Advanced degree (PhD, MSc or equivalent) in Engineering, Mathematics, Physics, Computer Science, etc.

- Experience in a front-office derivatives trading environment along with Good understanding of advanced mathematical topics like probability theory, stochastic calculus, partial differential equations, numerical analysis, optimization

- Experience of code design and demonstrable programming skills in C++/Python or any other programming language

- Deep understanding of derivatives pricing theory and standard models and hands-on experience of Reinforcement Learning

Preferred qualifications, capabilities, and skills

- Relevant academic research publications a plus