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Quantitative analyst, Exotic Equities., London
- UK - City of London - London
- Highly Competitive
- Full-Time Permanent
- Financial Services - Research
- 01-09-08
Job Description
Top tier US investment bank seeks exceptionally technical Quantitative modeler for Front office role in New York. The banks exceptional technical analytical platform demands a very high level of mathematical modeling skill and top C++ programming credentials. The incumbent would be working closely with the fast paced trading team in a highly dynamic group of quants, traders and structurers. Answering directly to the head of IR/FX quantitative analysis, the successful candidate will be part of a growing team of some of the top academics and strongest modelers in the industry.
Responsibilities:
· Modelling, price and risk management for Exotic Equities and Hybrids
· Numerical methods for analysis of Equity models, in particular multi-factor and stochastic volatility models. Advanced finite difference and spectral PDE solving methods, and Monte-Carlo simulation methods
Coverage:
· Local volatility
· Stochastic volatility
· Hybrid equity & interest rate models
· Copulas
· Correlation skew models
· Proprietary “skew propagation”
· Geometric conditioning methods
· 1 and 2 factor Hull White (applied to inflation and commodity prices)
· Jump diffusion
· Markov functional & LIBOR market models for interest rates
· European, asian, american, barrier & lookback options
· Variable annuities on baskets of equities & bonds
· Auto-callables (including discrete or continuous barriers, asian or lookback start & end and other features)
· Cliquets (including global floor, variable cap, lock-in and other features)
· Napoleons
· Reserve coupons and other equity-linked coupon streams
· Counted barrier options
· Himalayas
· Variance swaps
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 to jobs@selbyjennings.com with CV in Word format
www.selbyjennings.com
Responsibilities:
· Modelling, price and risk management for Exotic Equities and Hybrids
· Numerical methods for analysis of Equity models, in particular multi-factor and stochastic volatility models. Advanced finite difference and spectral PDE solving methods, and Monte-Carlo simulation methods
Coverage:
· Local volatility
· Stochastic volatility
· Hybrid equity & interest rate models
· Copulas
· Correlation skew models
· Proprietary “skew propagation”
· Geometric conditioning methods
· 1 and 2 factor Hull White (applied to inflation and commodity prices)
· Jump diffusion
· Markov functional & LIBOR market models for interest rates
· European, asian, american, barrier & lookback options
· Variable annuities on baskets of equities & bonds
· Auto-callables (including discrete or continuous barriers, asian or lookback start & end and other features)
· Cliquets (including global floor, variable cap, lock-in and other features)
· Napoleons
· Reserve coupons and other equity-linked coupon streams
· Counted barrier options
· Himalayas
· Variance swaps
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 to jobs@selbyjennings.com with CV in Word format
www.selbyjennings.com
- The Team
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