Quantitative Analyst - Interest Rate Derivatives, AVP
Tasks
- Assess risk/reward of transactions
- Collaborate with traders structurers and technology professionals
- Create implement and support quantitative models
- Develop analytics libraries for interest rate derivatives pricing
- Develop pricing models using Monte Carlo methods
- Develop pricing models using partial differential equation solvers
- Ensure governance and control compliance with risk and legal functions
- Maintain adherence to code of conduct and supervision policies
Perks/Benefits
- N/A
Skills/Tech-stack
C++ | CMS | C_Sharp | Differential Equations | HJM | Interest Rate | Interest Rate Derivatives | Java | KDB | Markov Functional | Monte Carlo | NET | Numerical Methods | Object-Oriented | Object-oriented design | Partial differential equations | Path Dependent Exotics | Probability | Python | Quantitative modeling | Query Language | SABR | SQL | Statistics | Structured Query | Structured Query Language | Swaptions
Education
Roles
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