Quantitative Analyst - Contract - Financial Services - London
A Tier 1 Investment Bank is seeking a Quantitative Analyst 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 quantitative analyst will develop, implement and test exotic models within the middle office.
- Implementing exotic pricing models
- Provide front office quantitative support to the trading desks and risk managers
- Developing and cleaning the quant libraries
- Analyse sensitivities (delta, vega, gamma, theta)
- Conduct PnL forecasting
- Do the testing and validation of the results
Key skills and experience:-
- Good development skills with Excel, (C# or C++)
- Have good knowledge of curve construction
- Preferably have over 2 years' experience in a similar front office environment
- Have good knowledge of pricing model of vanilla interest rate products (e.g. swap, future, bond, bond future, swaption, deposit future option, bond option)
- Deep understanding of COM and Excel's RTD server.
- Working Java knowledge
- Experience with C++/CLI
For more information apply with an updated CV today!