Beschreibung
*Responsibilities*•Collaboration on the internal Pricing Library (Implementation of new Payoffs, Performance optimization)
•Analysing and solving of problems
•Suggesting improvements and development of stochistic models
•Implementation of numerical algorithms
Anforderungsprofil
*Requirements*
•Master or PhD in a quantative subject
•Solid mathematical finance training, especially in the areas such as stochistic differential equations and option evaluation
•Experience with FX traders and FX front systems (Murex)
•Know-how of 1st generation FX options and complete FX products (Accumulators, TARFs)
•Experience in the implementation of advanced pricing models (local volatility, stochistic volatility oder local stochistic volatility)
•Very good knowledge in the usage and implementation of numeric algorithms (PDE solvers, optimizations algorithms, Monte Carlo)
•Fluent in English
*Nice to have*
•Fluent in German
•Experience in quantative software development with Java or Scala
*Personality*
•Strong analytical and communication skills
•Reliable and resilient
Arbeitsort
Zürich