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.
Coordinate with finance and controller teams to address any issues related to P&L and Model Reserve calculations, and examine and interpret P&L to ensure compliance with regulatory requirements.
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
Quantitative analysis
Monte Carlo Methods
Partial differential equations
C++ and Python
Model governance and performance
Financial instruments including exotics equity derivatives
Nice-to-have
Quantitative training
Academic literature research
Industry presentations
Modernize and digitize security prices
Technical discussions with trading desks
P&L interpretation for regulatory compliance
Automate model parameter calibration
Key Requirements
Master’s degree or foreign equivalent in Mathematics or related field
4 years of experience as Quantitative Analyst or related
4 years experience with Monte Carlo Methods
4 years experience with Python
4 years experience with Statistics, Probability Theory, Data science, machine learning
3 years experience with Partial differential equations
3 years experience with C++ and SQL
3 years experience with P&L and Model Reserve calculations
3 years experience with regulatory requirements including model documentation, assessing model performance, and evaluating models missing risks