Responsibilities:
- Develop Pricing models in C++ library which are performant, scalable, robust and extendible
- Contribute to the planning and design of next-generation analytics and the interaction with the IT risk platform
- Support users of our across the FO
- Document models to necessary Standards
Required:
- PhD/Masters degree in Quantitative Finance, Mathematics, Physics, or other quantitative disciplines.
- Experience in dealing with exotic derivatives.
- Deep knowledge of Fx derivatives pricing models.
- Excellent understanding of Stochastic Calculus applied to quantitative finance and numerical optimisation techniques
- Strong analytical and problem-solving skills.
- Experience using C++ and Python.
- Strong inter-personal and communication skills, with the ability to apply it to all levels and functions.
