A top tier financial services firm is seeking a Vice President of Quantitative Research. The focus is development of the infrastructure for derivative securities pricing, in the area of interest rates (including inflation), credit derivatives and foreign exchange. The role involves addressing the theoretical aspects of derivatives pricing, programmatic implementation (C++) and documentation.
•Contribute to DPG's volatility calibration and exotics pricing effort. Knowledge of current volatility models for interest rates (e.g SABR, LMM) is essential.
•Produce, maintain or extend existing models for pricing interest rate options in the presence of low or negative rates, model volatility surfaces and skew dynamics.
•Help with Exotic Derivatives pricing: familiarity with the pricing methodology for callable structures is essential.
•Create add-hoc pricing models (excel/vba) for the front desk, including risk and pricing adjustment (CVA,FVA) calculations.
•PhD in Finance or a Quantitative Field of Science or Engineering, or its equivalent.
•Minimum of 2years of experience in the financial industry, preferably within a major financial institution in a role related to interest rates derivative pricing for the front desk.
•Solid understanding of stochastic calculus, numerical analysis of stochastic processes, derivative pricing theory.
•Experience in Volatility Calibration techniques and theoretical/practical considerations.
•Solid knowledge of programming in C++, interfacing between C and VBA, as well as working knowledge of Microsoft's Development environment
•Some understanding of curve building methodology (collateral, multiple curve projection) as well as valuation adjustments CVA, FVA).
•Knowledge of a scriptinglanguage is a plus.
•Ability to effectively communicate abstract ideas to the front desk, as well as ability to produce technically accurate and effective documentation on the models developed.
•Ability to interact with the Trading Department on ad-hoc issues involving volatility calibration.
•Ability to understand and troubleshoot pricing / risk management problems in a rapidly expanding group of professionals.