Implement and integrate derivatives pricing models in the existing in-house FX/Commodity/Credit C++ derivatives pricing libraries; Improve accuracy and performance of existing market data models; Improve accuracy and performance of existing pricing engines; Document and communicate findings to internal and external clients as necessary
Requirements:
Prior experience on FX derivative pricing models; Masters degree in a technical discipline (mathematics, finance, physics, engineering, or similar field); Proven C++ experience; Demonstrated knowledge of numerical techniques employed in derivatives pricing models (Monte Carlo, PDE methods often used in calibration and pricing, analytical); History of team collaboration and comfort in a multi-developer environment with a facility for interacting with quants, IT groups and product managers
Text:
Quantitative Developer - FX Commodities Credit - Quant Analytics Implement and integrate derivatives pricing models in the existing in-house FX/Commodity/Credit C++ derivatives pricing libraries; Improve accuracy and performance of existing market data models; Improve accuracy and performance of existing pricing engines; Document and communicate findings to internal and external clients as necessary Prior experience on FX derivative pricing models; Masters degree in a technical discipline (mathematics, finance, physics, engineering, or similar field); Proven C++ experience; Demonstrated knowledge of numerical techniques employed in derivatives pricing models (Monte Carlo, PDE methods often used in calibration and pricing, analytical); History of team collaboration and comfort in a multi-developer environment with a facility for interacting with quants, IT groups and product managers
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