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Provide a quantitative research function for the activities of the Fixed Income Non Linear, with a special focus on FX business. Quantitative Research involves defining and implementing mathematical pricing models for both well established products to improve pricing and risk management, and for new products to enhance the range offered by the bank. Ensure correct and robust implementation of the models within the relevant bank’s systems, including dealing correctly with all aspects of the trade providing relevant risk measures to the system.
Job Responsibility:
Develop code inside C++ analytics library for pricing new products and developing new pricing models
Work with the Quant development team to ensure correct implementation of pricing library functionalities in FOX
Work with the IT department to ensure correct implementation of pricing library functionalities in OT
Ensure the coordination for the FINL quantitative topics in London setup
Ensure that models are adequate for both pricing and hedging transactions
Document and explain models to the risk department
Implement models for use in the risk management systems and front office pricing system
Assist the trading team in pricing and assessing the risk of complex transactions
Assist the back office and other bank support functions
Train and present on products and tools developed
Research and back-test models / strategies using historical data
Support pricing tools and the risk management system from a quantitative point of view
Requirements:
Postgraduate degree – MA/MSc/PhD/Doctorate or equivalent
Master Degree in a Mathematical subject
3-5 years experience
Experience in implementing option pricing models
Experience in developing C++ code for pricing financial products
Experience in working in FX options market
Able to explain complex ideas in a clear and coherent manner
Able to work in a team
Self-driven with a strong desire to meet deadlines
Integrity
Innovative ideas
Knowledge of stochastic calculus, probability theory