Beschreibung
Responsibilities- Design and integrate solutions to meet new business requirements
- Development of services for FX pricing models and equity derivative products based on local stochastic volatility models
- Coding from scratch simple tools and services for the trading desks in Scala, C++ or Java
- Improve risk management for these FX and equity derivative products
- Maintain and continuously improve existing software
- Collaborate with risk management and IT for validation and integration
- Provide 3rd level support
- Liaise with key business and IT stakeholders
Requirements
- Master degree or Ph.D. in a quantitative discipline like Mathematics, Physics, Engineering or Quantitative Finance
- Experience in developing Equity or FX Derivatives in the banking industry and good understanding of financial products including FX options
- Experience in object-oriented programming in Scala, C++ or Java
- Strong knowledge in financial mathematics, probability theory and/or local stochastic volatility models and their integration into trading applications
- Experience in the implementation of numerical methods (PDE solvers, Monte Carlo, etc.)
- Profound knowledge of financial market data
- Fluent in English
Nice to have
- German language skills
- Experience in model validation
- Good knowledge in time series analysis, machine learning, statistical models