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