Providing quantitative support to the Front Office and other related functions within the firm.
Model analysis and improvement (market data, calibration, risk stability…).
Skills and Experience
Solid years of experience in a similar quant role.
Advanced development skills (C++ or C#).
Experience in VBA / Excel pricing sheets.
Experience on derivative pricing and/or vanilla models is a plus.
Strong math and finance education, with stochastic calculus and probabilities.
Front Office support on pricing working with Exotic products and American Monte Carlo.
Development in a production library
Development of a new model
Monte Carlo and PDE methods