Offer summary

Qualifications:

Masters or PhD in Mathematics, Computer Science, or related field., Strong programming skills in C++ and Python, with experience in numerical algorithms., Knowledge of financial mathematics and derivatives modelling., Strong analytical skills and ability to communicate complex ideas clearly..

Key responsibilities:

Document, test, and improve an internal risk model for equity derivatives.

Liaise with Front Office, Technology, and Model Validation teams to deploy the risk model.

Ensure compliance and accuracy in model implementation.

Contribute innovative ideas for developing novel approaches in quantitative modelling.

Job description

Modelling Quant (Contract)

Location: Based from home, with some travel required

The Team

The role sits in The QA Equity & Hybrid Products team, which is part of the Global Quantitative Analytics group (QA) and is responsible for research, development and implementation of quantitative models for the equity derivatives business.

It covers equity flow products, equity structured & hybrid products, quantitative index and strategies business.

Overall purpose of the role

Documentation, testing and improvements of an internal risk model, which is owned by The QA Equity & Hybrid Products team and feeds the Credit Valuation Adjustment (CVA) for products sensitive to future implied volatility dynamics (e.g. Corridor Variance Swaps)
Liaise with Front Office, Technology and Model Validation teams, to deploy the risk model to production

Candidate profile

Masters or PhD in Mathematics/Computer Science or related field
Mathematically minded (knowledge of financial mathematics, ability to program numerical algorithms in C++)
Experience in Front Office & Derivatives modelling
Theoretical knowledge of financial engineering/structuring and financial product development
Strong analytical and numerical skills
Good Python programming skills
Strong C++ programming skills (ideally worked in a C++ shared library)
Able to explain complex ideas in a clear and coherent manner to colleagues/traders/sales/management both oral, written or in presentation
Self driven with a strong desire to meet deadlines and to work accurately while keeping in mind compliance
Integrity, desire to have correct and robust mathematical models and implementation
Innovation ideas, ability, courage and desire to suggest and develop novel approaches
Good written and verbal communication

Required profile