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Position: Senior Quantitative Analyst
Institution: Vontobel Holding AG
Location: Zürich, Switzerland
Duties: Developing and implementing state-of-the-art derivative pricing models, calibration, and volatility fitting tools across asset classes (Equities, FX, and Fixed Income); Leveraging our in-house derivative pricing library in combination with our functional technology stack (F#, .Net, Python, Redis, Kafka, Azure, etc) to develop cutting edge solutions for our trading desks' risk management requirements; Being part of our Quant team in a highly collaborative environment with responsibilities ranging from derivative modelling, risk management system design and maintenance, developing highly performant compute infrastructure, and fulfilling regulatory requirements
Requirements: Quantitative background with proven track record in derivative modeling applied either in a front office quant or model validation role (experience with Stochastic Local Volatility Models, Monte Carlo simulation, PDE pricing, and advanced model/volatility calibration routines); Profound experience in derivative model code implementation and documentation would be a clear plus; Solid software engineering skills and a general enthusiasm for programming; Preferred: Experience with modern application lifecycle management tools (Git, Visual Studio/Visual Studio Code)
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