Quantitative Researcher - C++ - FI Quantitative Analytics Team

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++