FX Quant Analyst - Pricing Library / Models (4632)

Vertragsart:
Vor Ort
Start:
ab sofort
Dauer:
12 Monate
Ort:
Zürich
Eingestellt:
08.08.2017
Land:
flag_no Schweiz
Projekt-ID:
1394859

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For a project at our client‘s site, an international bank based in Zurich, we are looking for an experienced

FX Quant Analyst - Pricing Library / Models (4632)

You will be responsible for the FX Trading Desk support, specifically for the pricing library (back-end) including analysing, identifying areas of improvement, coding and implementing methods to achieve desired outcomes and further development.

Your Qualifications:

-5+ years working experience as a Quant Analyst with FX distributor and FX front systems
-Practical know-how with "1st Generation" exotic FX options and complex FX products (accumulators, TARFs)
-Practical experience in the implementation of advanced pricing models (local volatility, stochastic volatility or local stochastic volatility)
-Experience in the field of stochastic differential equations and in the option evaluation
-Very good knowledge in the application and implementation of numerical algorithms (PDE solvers, optimization algorithms, Monte Carlo)
-Experience in Quantitative Software Development with Java or Scala, C# or C++
-Fluency in English

Are you ready for a new challenge and available immediately in Zurich? We look forward to receiving your application in MS-Word on For any questions, please contact us: