Recruitment Team at Allegis Group
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Associate/Assistant Vice President - Pricing Model Validation - BFS (4-11 yrs)
Associate/AVP - Pricing Model Validation - BFS
- Provide theoretical analysis and review of Derivatives Pricing Models.
- Implement independent benchmarks of pricing models in a managed C++ or Python library.
- Write validation reports to present test results/ analysis in coherent way.
- Collaborate with teams globally (London and New York).
Education and Experience :
- Relevant university degree (PhD or Masters) in a Numerate subject. Ideal candidates will be from IIT / IISc / top Foreign Universities.
- Specialized option pricing model expertise necessary.
- Strong quantitative background with excellent analytical skills.
- Familiar with Stochastic Calculus, Probability, Differential Equations and Numerical Methods.
- Proficiency in Programming Languages preferably Python or C/C++
- Experience in implementing Monte-Carlo, Finite Difference Methods and other Numerical algorithms.
Personal characteristics :
- Self-motivated, persistent and focused with the ability to pay attention to detail and ensure that high quality work is consistently produced.
- Ability to work independently
- Able to cope well under pressure and tight deadlines