Beschreibung
Quantitative DeveloperKeywords: Quant, Quantitative Developer, Murex, algorithm, C ++, Java or Scala
Our client is an international bank located in Zurich. The firm offers a very professional environment where you will have the chance to use your skills within an experienced team.
We are looking for a long-term contractor/consultant with excellent mathematical understanding as well as experience in development and calibration of pricing models.
Tasks
- Working on the internal pricing library
- Implementing new payoffs, performance optimisations
- Preparation of Pricing Library for the integration into dealer and sales systems
- Integration of models in MUREX using the FLEX API
- Implementation of numerical algorithms
Requirements
- Master degree or PhD required
- Several years' experience in the field of stochastic differential equations and in option pricing
- Experience in implementation of advanced pricing models (local volatility, stochastic volatility or local stochastic volatility)
- Very good implementation knowledge of numerical algorithms (PDE solvers, optimisation algorithms, Monte Carlo)
- Knowledge of MUREX is considered a strong asset
- Experience in quantitative software development with C ++, Java or Scala
- Proactive, resilient and reliable personality
- Fluency in English (written & spoken)
This is a fantastic contract opportunity to join a leading financial firm, working within an exciting and fast paced environment.
The assignment duration is planned for 1 year (extension likely). Start-date is ASAP.
I am looking forward to receiving your CV.