Responsibilities:

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  Research the standard model(s) used to price various derivatives.  Examples of such models might include Heston, Libor market models, etc
• Design suitable numerical schemes.  This involves designing calibration procedures as well as choosing a scheme for solving the SDE.

   

• Implement the models in a state-of-the art .NET environment

   

• Document and disseminate your solutions:
  • Writing both internal and external material.
  • Meeting clients for knowledge transfer and to receive feedback.
  • Requirements:

     

    
    
    • Quantitative Ph.D. degree (or relevant M.Sc.) in a quantitative field (e.g., mathematics, physics, engineering, finance)
    • Several years of directly relevant experience (for example, at a bank or risk vendor)

       

      
      
    • Strong numerical programming skills in C# or C++
      
    • Deep knowledge of financial modeling (interest rates, credit, stochastic volatility)