Quantitative Developer

Vertragsart:
Vor Ort
Start:
ab sofort
Dauer:
keine Angabe
Ort:
Zürich
Eingestellt:
12.07.2019
Land:
flag_no Schweiz
Projekt-ID:
1796871

Warning
Dieses Projekt ist archiviert und leider nicht (mehr) aktiv.
Sie finden vakante Projekte hier in unserer Projektbörse.
Responsibilities
- Design and integrate solutions to meet new business requirements
- Development of services for FX pricing models and equity derivative products based on local stochastic volatility models
- Coding from scratch simple tools and services for the trading desks in Scala, C++ or Java
- Improve risk management for these FX and equity derivative products
- Maintain and continuously improve existing software
- Collaborate with risk management and IT for validation and integration
- Provide 3rd level support
- Liaise with key business and IT stakeholders

Requirements
- Master degree or Ph.D. in a quantitative discipline like Mathematics, Physics, Engineering or Quantitative Finance
- Experience in developing Equity or FX Derivatives in the banking industry and good understanding of financial products including FX options
- Experience in object-oriented programming in Scala, C++ or Java
- Strong knowledge in financial mathematics, probability theory and/or local stochastic volatility models and their integration into trading applications
- Experience in the implementation of numerical methods (PDE solvers, Monte Carlo, etc.)
- Profound knowledge of financial market data
- Fluent in English

Nice to have
- German language skills
- Experience in model validation
- Good knowledge in time series analysis, machine learning, statistical models