Develop pricing models and create analytical tools for pricing and calibration, partnering with structurers and traders on new product development
Job Summary
Develop pricing models and create analytical tools for pricing and calibration, partnering with structurers and traders on new product development.
Implement pricing models in the model library using C++ and Python, and write payoff scripts to model new products.
Design and perform numerical and statistical tests of models to ensure proper quality and full compliance, coordinating with finance and controller teams to address P&L and Model Reserve issues.
Matching Summary
Develop pricing models and create analytical tools for pricing and calibration, partnering with structurers and traders on new product development.
Salary
$225,000 to $250,000
Skills & Requirements
Must-have
Develop pricing models
Create analytical tools
Quantitative training
Model governance and performance
Numerical techniques for valuation
Implement pricing models in C++ and Python
Write payoff scripts
Quantitative analysis for new products
Develop ad-hoc tools
Model validation and compliance
Address P&L and Model Reserve issues
Modernize security prices
Technical discussions on pricing platforms
Examine and interpret P&L
Construct replicating portfolios
Automate model parameter calibration
Develop statistical models
Back-test model performance
Nice-to-have
Partner with structurers and traders
Support the trading desk
Research new pricing models
Academic literature and industry presentations
Coordinate with finance and controller teams
Lead technical discussions
Address pricing and trading issues
Ensure compliance with regulatory requirements
Manage operational risk
Make predictions
Make enhancements
Key Requirements
Master’s degree in Mathematics or related field
4 years of experience as Quantitative Analyst
4 years working with exotics equity derivatives
4 years using Monte Carlo methods
4 years using Python
4 years in Statistics, Probability Theory, Data science, machine learning
3 years of experience with Partial differential equations
3 years of experience with C++
3 years of experience with SQL
3 years with P&L and Model Reserve calculations
3 years with regulatory requirements including model documentation