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Headhunter at ABC Consultants
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Quantitative Researcher - C++ - FI Quantitative Analytics Team (0-3 yrs)
JD
Work within the FI Quantitative Analytics team on :
- Development of models
- Documentation of models
- Extend the scope of existing models (currencies, indices )
- Integration analysis/support
- Development of model interfaces
- Development of test/release tools
Requirement :
- Advanced knowledge of one or more numerical methods such as Finite Difference, Monte-Carlo, Binomial Tree
- In-depth knowledge of one or more Exotic derivative pricing models such as local vol model, stochastic vol model, jump diffusion models, hazard intensity models:
- Good understanding of stochastic calculus fundamentals such as Brownian motion, Ito's lemma, change of measure etc..
- Strong knowledge of one or more exotic derivative products, including their underlying risk factors and pricing methods:
- Strong background in maths (such as probability theory) and stats:
- Strong programming skills in C++
This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.
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