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1147: Quantitative Developer

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The Quantitative Development group focuses on capi

The Quantitative Development group focuses on capital markets modeling, market-consistent valuation of assets and liabilities, quantitative risk analytics, and simulation analysis of risk management strategies.Systems developed by this group support trading functions within active hedge programs, and also serve as calculation engines for stochastic-on-stochastic financial projections of hedge strategy performance.
Responsibilities:
The candidate would potentially be involved in the following types of projects:

  • Designing models of exotic derivatives appropriate for pricing exercises, setting hedge positions, and projecting hedge strategy performance
  • Implementing derivative models as VBA, C++, and C# modules
  • Developing both risk neutral and real world economic scenarios used for hedge strategy testing purposes
  • Calibration of capital markets models to market prices and historical capital markets data
  • Developing trading strategies and performing historical regression tests

    • Your Qualifications:
    The ideal candidate will have:

  • Obtained, or made successful progress toward, an advanced quantitative academic degree, preferably in math, physics, or quantitative finance
  • Achieved or made successful progress toward CFA and/or FRM designations
  • Experience carrying out quantitative financial analysis, preferably based on portfolio and option valuation theories
  • Experience with stochastic modeling exercises including use of Monte Carlo techniques
  • Demonstrated proficiency in computer programming languages including C++, Matlab, and Excel VBA, and has an appreciation of object oriented software design

    • Additionally desired qualifications include:

  • Relevant work experience in the above qualification areas and the ability to describe in detail the work you have done
  • Demonstrated strong communication skills, capacity for leadership, and creative problem solving
  • The ability to work independently and in a team environment
  • A results-oriented work ethic