Foreign Exchange Desk Quant
Very Attractive
Based: London and New York Type: Permanent Start date: Flexible Date posted: 17/03/2010
This is a mid level model development position aligned with the Foreign Exchange Options Trading business. The candidate will develop models, implement products, and support the trading desk + structurers.
Core Responsibilities:
• Develop models and implement them in software for pricing and risk managing derivatives.
• Develop pricing and calibration tools.
• Benchmark and compare results of various techniques
• Implement products using pricing engines and models
• Explain model behavior and predictions to traders, identify major sources of risk in portfolios, carry out scenario analyses, provide guidance / debug analytics
• Rapid prototyping of models and products
Essential skills, experience, and qualifications
• quantitative modelling and/or derivatives trading desk support experience in Credit, Rates, Equity, FX, etc.
• Deep understanding of options pricing theory (i.e. quantitative models for pricing and hedging derivatives)
• Excellence in probability theory, stochastic processes, partial differential equations, and numerical analysis
• Very strong analytical and problem solving abilities
• C/C++ coding with emphasis on numerical methods
• Good communication skills.
• PhD or equivalent degree from top tier schools/programs in Math, Math Finance, Physics, or Engineering
For further information please contact John Meadowcroft on 020 7780 6700 / 020 7025 0420, or alternatively via e-mail John.Meadowcroft@AnsonMcCade.Com
Reference: AMC*JM/FxQua. To apply for this vacancy: email John Meadowcroft