C#/C++ Quantitative Analyst/Developer - Contract - Financial Services - London
A Tier 1 Investment Bank is seeking a C#/C++ Quantitative Analyst/Developer to join their London team which is charged with the development of models, pricing tools and system integration of all exotic models used in the firm, on all asset classes. The successful candidate will develop and test the quant library for curve construction and risk projection, implement vanilla pricing models and document on pricing methodology and model testing.
- Implementing vanilla rates pricing models
- Provide quantitative support to the trading desks and risk managers
- Analyse sensitivities (delta, vega, gamma, theta)
- Do the testing and validation of the results
Key skills and experience:-
- Excellent development skills (C# or C++)
- Have good knowledge of curve construction
- Preferably have over 2 year's experience in a similar front office
- Have good knowledge of pricing model of vanilla interest rate products (e.g. swap, future, bond, bond future, swaption, deposit future option, bond option)
For more information apply with an updated CV today!