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To provide quantitative and analytical expertise to support trading strategies, risk management, and decision-making within the investment banking domain, applying quantitative analysis, mathematical modelling, and technology to optimise trading and investment opportunities.
Job Responsibility
Development and implementation of quantitative models and strategies to derive insight into market trends and optimize trading decisions, pricing, and risk management across various financial products and markets
Working closely with sales teams to identify clients' needs and develop customized solutions
In-depth research, data analysis, and statistical modelling to derive insights into market trends, pricing, and risk dynamics
Provide front office infrastructure support though ownership and maintenance of analytical libraries
Provision of expertise on quantitative methodologies, technological advancements, and industry best practices to drive innovation within the trading environment
Join us as key member of the QA team to develop pricing and risk management models and analytics for the Rates Options & Exotics business and provide quantitative analysis and advice regarding the usage of our models
Work with IT on rolling out our pricing and risk management models into strategic platforms
Develop tooling for structurers/traders to perform data analysis, back testing, relative value, and index strategy analysis
Support business (Trading desk and their control functions) in their daily activities and processes, develop the mathematical and financial foundation for new models and methodologies in C++ and Python in Quantitative Analytics Libraries
Develop tests, estimation and calibration procedures for the models and methodologies and write documentation for the models and methodologies including the estimation and calibration procedures
Requirements
Master's degree or higher in Mathematics, Statistics, Engineering, Quantitative Finance, or another quantitative field
6+ years of experience in a top-tier global financial services firm with relevant experience in options and exotics modelling in a front office context
Have covered one or more of these areas: IR Exotics / Credit-IR Hybrids / FX-IR Hybrids / Equity-IR Hybrids
3+ years In-depth C/C++ knowledge
3+ years In-depth Python knowledge
Experience developing in a large, shared pricing library with multiple developers
Experience testing models, preparing technical documentation, and explaining technical concepts to non-technical users
Nice to have
Knowledge of additional languages such as VBA, C#, Haskell, etc.
Quantitative Investment Strategies on rates and rates options underlyings