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Quantitative Analysis for IR/FX Derivatives., Singapore
- SG - Singapore
- Highly Competitive
- Full-Time Permanent
- Financial Services - Hedge Funds
- 29-09-08
Job Description
Top US hedge fund seeks experienced Quantitative analysts for their newly developing IR/FX desk.
The fund has been a highly successful break off from a larger fund and is currently doing exceptionally well in a turbulent market.
Your role will be in research and design of models for complex exotic derivatives.
The fund has $16 Billion AUM, and is constantly expanding against trends in the market.
The incumbent will join an exceptional front office modeling and development team working closely with structuring and trading.
Responsibilities
· Work as a front office quant and directly support exotic interest rates and currency trading desk.
Product development in C++ under framework of Markov functional model for callable swaps using grid method and Libor volatilities model for irregular swaptions.
Develop interest rate derivative products, such as range accruals and inverse-floaters.
Optimize and improve the existing models to meet the real time business requirements; develop Excel sheets and add-in functions to the derivatives analytics.
· Also work on the validation and C++ implementation of yield curve construction and inflation Markov functional models, inflation year-on-year volatilities model for inflation products.
Qualifications
Exceptional mathematical modeling, knowledge of stochastic Calculus, Local volatility, Stochastic volatility, Hybrid FX & IR models, Copulas, Correlation skew models, Proprietary skew propagation, Geometric conditioning methods
Solid programming ability in C++ (over 10,000 lines) JAVA, MATLAB, C#
Top class academic background to PhD level in a highly quantitative subject, e.g. Mathematics, Physics, Financial Engineering, Finance.
The ability to work alone and has part of a highly dynamic team
Experience in a Quantitative Analysis role in good team. (Intern experience also included)
Please apply with CV to jobs@selbyjennings.com with CV in Microsoft Word format.
www.selbyjennings.com
The fund has been a highly successful break off from a larger fund and is currently doing exceptionally well in a turbulent market.
Your role will be in research and design of models for complex exotic derivatives.
The fund has $16 Billion AUM, and is constantly expanding against trends in the market.
The incumbent will join an exceptional front office modeling and development team working closely with structuring and trading.
Responsibilities
· Work as a front office quant and directly support exotic interest rates and currency trading desk.
Product development in C++ under framework of Markov functional model for callable swaps using grid method and Libor volatilities model for irregular swaptions.
Develop interest rate derivative products, such as range accruals and inverse-floaters.
Optimize and improve the existing models to meet the real time business requirements; develop Excel sheets and add-in functions to the derivatives analytics.
· Also work on the validation and C++ implementation of yield curve construction and inflation Markov functional models, inflation year-on-year volatilities model for inflation products.
Qualifications
Exceptional mathematical modeling, knowledge of stochastic Calculus, Local volatility, Stochastic volatility, Hybrid FX & IR models, Copulas, Correlation skew models, Proprietary skew propagation, Geometric conditioning methods
Solid programming ability in C++ (over 10,000 lines) JAVA, MATLAB, C#
Top class academic background to PhD level in a highly quantitative subject, e.g. Mathematics, Physics, Financial Engineering, Finance.
The ability to work alone and has part of a highly dynamic team
Experience in a Quantitative Analysis role in good team. (Intern experience also included)
Please apply with CV to jobs@selbyjennings.com with CV in Microsoft Word format.
www.selbyjennings.com
- The Team
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