Quantitative analyst/developer (C++, Java, Scala)

Vertragsart:
Vor Ort
Start:
keine Angabe
Dauer:
1 year contract
Von:
Stamford Consultants AG
Ort:
Zürich
Eingestellt:
30.10.2015
Land:
flag_no Schweiz
Projekt-ID:
1010815

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For one of our clients we are looking for a Quantitative analyst/developer for a 12 months contract with option of extension.

Description:

  • Participation in the internal pricing library (implementing new payoffs, performance optimizations )
  • Study and parameterizations of volatility surface
  • Preparation of the pricing library for integration into sales systems (front systems)
  • Implementation of numerical algorithms

Required skills:

  • Master or PhD in a quantitative discipline
  • Hands-on experience in the implementation of advanced pricing models (local volatility, stochastic volatility)
  • Practical experience in the implementation of advanced pricing models (local volatility, stochastic volatility or local stochastic volatility)
  • Excellent knowledge in the application and implementation of numerical algorithms (optimization algorithms, Monte Carlo)
  • Experience in quantitative software development with C ++, Java or Scala
  • Good experience in the integration of pricing models in MUREX using the FLEX API is a must
  • Solid education in Finance or Mathematics, in particular in the field of stochastic differential equations and in the option pricing.
  • Experience in structured finance products would be a strong plus
  • Fluent English is a must, German would be an advantage

If you match the above skill set I look forward to receiving your application, including a motivational letter, via this website.