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Job Title: Quantitative Analyst
Location: New York NY
Client delivers truly world-changing insight based on rich content sources. During this mission, you will have the opportunity to work on cross-asset quantitative libraries which are computing analytics for simple vanilla instruments till complex structured product. The quantitative analyst will learn the best techniques suited for each instrument in a context of increase of complexity of the analytics such as the production of the XVAs. Client quantitative libraries are integrated in the Analytics platform which provides added values quantitative services to financial institutions, banks, asset managers.
Working closely with product managers and financial engineers, within a talented team of quants, you will develop, build, improve and test quantitative models and increase the coverage of instruments to support new markets, more specifically to enrich the set of models of the commodity asset class. The models will need to provide at the same time accurate figures thanks to the latest modelling techniques while ensuring that performance is at best when executed through the Analytics platform.
Roles and Responsibilities:
• Develop new financial models or maintain existing models in C++ (find closed formula or implement models using trees, PDE, Monte Carlo framework)
• Extend the coverage of supported instruments in commodity market by adding new conventions
• Enhance Market Data for C&E Market ( Implied volatilities, Fair Value Curve)
• Tailor the interfaces and monitor performance such that new features are properly integrated in the Analytics platform
• Test the models in collaboration of our QA group using TR Market Data.
• Interact & propose solutions to product management group
• Provide functional support to customers or support teams
• Monitor publications in quantitative modelling
• Support client requests linked to quantitative modelling
• Self-driven, goal-oriented team player with good communication skills
• University or graduate degree in a quantitative discipline such as Computer Science, Mathematics or Engineering
• At least 3 years of relevant experience as IT Quant on a desk or in a risk management department.
• Proven track record in model implementation (Tree, Monte Carlo, PDE) on Equity, FX, Commodity Market ( for example local volatility or stochastic models)
• Strong object oriented programming skills ( 1-3 years of development experience in C++ or/and C#)
• Knowledge of software delivery process (tests, continuous integration, agile methods, ...)
• Ability to work in an international environment with French teams
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