Quantitative Developer
Chicago, IL
Our is looking for bright, enthusiastic and qualified Quantitative Developer to work in their Financial services practice. Our client develops risk management solutions for the financial services industry. They currently advise some of the world’s largest companies in areas such as hedging strategy and operations, portfolio risk management, and capital requirements.
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 asĀ C# and F# 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
Required Skills
- Obtained, or made successful progress toward, an advanced quantitative academic degree, preferably in math, physics, or quantitative finance
- 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#, and F#, and has an appreciation of object oriented software design
- Demonstrated strong communication skills, capacity for leadership, and creative problem solving