Quantitative developer Pricing Models

Vertragsart:
Vor Ort
Start:
01/11/2015
Dauer:
12 months
Von:
Michael Bailey Associates - Zurich
Ort:
Zürich
Eingestellt:
07.10.2015
Land:
flag_no Schweiz
Projekt-ID:
996164

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For our banking client we are looking for a Quantitative Developer with experience in development and calibration of pricing models.

Start date:
Duration: 12 months minimum
Location: Zurich

The ideal candidate must have:

  • Excellent mathematical understanding of development and calibration of pricing models.
  • 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), German is a big plus

Project tasks include:

  • 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

Michael Bailey International is acting as an Employment Business in relation to this vacancy.