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17/05 Dhanya Maniyath
Recruitment Sourcing Manager at Allegis

Views:173 Applications:32 Rec. Actions:Recruiter Actions:30

Associate/AVP - Pricing Model Validation - BFS (4-12 yrs)

Mumbai Job Code: 926192

Responsibilities :

- 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, New York and Berlin).

Education and Experience :

- Relevant university degree (PhD or Masters) in a Numerate subject.

- Ideal candidates will be from IIT / IISc / top Foreign Universities.

Competencies :

- 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

Women-friendly workplace:

Maternity and Paternity Benefits

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