OTC Derivatives Quantitative Modeler Java OTC Derivatives Quantitative Modeler Java …

Analytic Recruiting Inc.
in New York, NY, United States
Permanent, Full time
Last application, 15 Jan 20
Competitive
Analytic Recruiting Inc.
in New York, NY, United States
Permanent, Full time
Last application, 15 Jan 20
Competitive
A Derivatives Solution Platform with offices in New York is seeking a Sr. Financial Engineer with Java software development experience to work on Interest Rate, FX and Commodity pricing, risk and analytic models.

Responsibilities:

  • Work with quantitative research and financial engineers on integrating 3rd party analytic packages (ie. Numerix) into the firms front, middle and back office platform
  • Work on Java based development of FX, Interest Rate and Commodity pricing, risk and analytic models as part of the firm’s platform
  • Document, test and validate all models
  • Identify aspects of the OTC Derivatives (Vanilla and Exotic) models in the library that may need to be tweaked, altered or fixed

Requirements:

  • Advanced Degree in a Quantitative Field (Math, Financial Engineering, Computer Science, Physics)
  • 4+ years of financial engineering of OTC Derivatives including Options, Swaps and/o Structured Notes
  • Must have strong quantitative skills to understand complex OTC valuation, risk and hedging models and to know if the model’s results are accurate
  • Must have a deep understanding of how derivatives models work and is current on market conventions for pricing and hedging OTC Interest Rate, FX and Commodity products including Options (Vanilla and Exotic)
  • Must have superior communication skills and the ability to communicate complex quantitative issues to groups and individuals
  • Must have demonstrated experience working with 3rd party analytics firms such as Numerix.
  • Must have- current Java and Java automation applications such as: Git, Jenkins, Maven and Tomcat

Keywords: Java, OTC Derivatives, Financial Engineer, Exotic Options, Valuation Models, Risk Models, Hedging Models

Please send resume for Job#23722 to Jim Geiger  jeg@analyticrecruiting.com

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