Quantitative Developer

Vertragsart:
Vor Ort
Start:
ASAP
Dauer:
12 months
Von:
Huxley Banking & Financial Services
Ort:
Zürich
Eingestellt:
02.10.2015
Land:
flag_no Schweiz
Projekt-ID:
992174

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Quantitative Developer

Keywords: 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.