VP/ED - Derivatives Pricing Model & Quant - BFSI

- Carrying out a portfolio of model reviews (e.g. pricing engines, products, reserve methodologies) in a trading asset class / product area

- Oversee a team of 3-5 junior reviewers, providing technical guidance and local management

- Communicate review needs and findings to FO quants, traders, Risk and Valuation Control Groups

- Excellence in probability theory, stochastic processes, partial differential equations, numerical analysis, option pricing theory (i.e. quantitative models for pricing and hedging derivatives)

- Very strong analytical and problem solving abilities

- PhD or equivalent

- Experience in model development or validation of derivatives pricing models

- Inquisitive nature, risk mindset, ability to ask pertinent questions and escalate issues

- Excellent communication skills (written and verbal)

- Team work oriented

- Project management experience

Desirable Skills, Experience and Qualifications

- Extensive model development (e.g. model design, model implementation, desk support) experience at Financial Firm with top 10 ranking in Tier 1 hybrid/exotic derivatives products

- Experience with Monte Carlo and numerical methods

- C/C++ programming, Python, Visual Basic