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EQ Derivatives Quantitative Analytics., Hong Kong
- HK - Hong Kong
- Highly Competitive
- Full-Time Permanent
- Financial Services - Quantitative Analytics
- 29-09-08
Job Description
My client is seeking experienced Quantitative Analysts for a front office analytical position. Based in Hong Kong you will cover all trade activity in Asia, answering directly into the head of Equity Derivative Quantitative Analytics, and work very closely with the Hong Kong traders.
The team is looking to expand its analytical library to trade more hybrids and the incumbent candidate will play a large part in this.
Responsibilities
Design and implement pricing models in C++ and deliver through Excel.
Price various structures: Barrier, Asian, Lookback, Rainbow, TARN, Cappuccino, Himalaya, Auto-callable structures, Cliquets, CPPI and fund derivatives.
Integrate new products and new pricing methods in the internal C++ pricing library.
Develop and implement variance swap pricing model in C++.
Implement Heston and Bates Models in Matlab and C++, for the pricing of forward skew products.
Implement a 2 factors model for Options on CPPI.
Qualifications
Exceptional mathematical modeling, knowledge of stochastic Calculus, Local volatility, Stochastic volatility, Hybrid equity & interest rate 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 acceptable)
Please apply with CV to jobs@selbyjennings.com with CV in Microsoft Word format.
www.selbyjennings.com
The team is looking to expand its analytical library to trade more hybrids and the incumbent candidate will play a large part in this.
Responsibilities
Design and implement pricing models in C++ and deliver through Excel.
Price various structures: Barrier, Asian, Lookback, Rainbow, TARN, Cappuccino, Himalaya, Auto-callable structures, Cliquets, CPPI and fund derivatives.
Integrate new products and new pricing methods in the internal C++ pricing library.
Develop and implement variance swap pricing model in C++.
Implement Heston and Bates Models in Matlab and C++, for the pricing of forward skew products.
Implement a 2 factors model for Options on CPPI.
Qualifications
Exceptional mathematical modeling, knowledge of stochastic Calculus, Local volatility, Stochastic volatility, Hybrid equity & interest rate 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 acceptable)
Please apply with CV to jobs@selbyjennings.com with CV in Microsoft Word format.
www.selbyjennings.com
- The Team
- cvjdbfjkserofeoirowj
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