Beschreibung
Quant, Quantitative Developer, Quantitative, Murex, algorithm, C ++, Java or Scala
My 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.
Please send an up to date CV to (see below) for immedieate interviews.
Quant, Quantitative Developer, C++, Java, Scala, Murex.