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Mis à jour le samedi 4 février 2012
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Voir les 23 annonces d'emploi de SELBY-JENNINGS-NEW-YORK
FX and Hybrids Pricing Verification and Valuation Quant, New York-Salary- $120,000-$150,000 base
Top global Derivative Valuation function seeks an exceptional quant to join its highly technical Portfolio valuation and pricing team.
Within this role you will be interacting with the Sales team and developers to provide top Valuation and pricing tools for the firm's clients, and help in the on going development of the portfolio of analytics.
You will be responsible for the analysis and reporting of Provisioning and Price Testing for Foreign Exchange and Hybrids.
This will involve extensive interaction and input in the development of new quantitative risk measures, calibration tools and methods.
The firm is one of the fastest growing organizations in Europe, which has seen a significant rise in share price throughout the credit crisis.
Responsibilities
-Researching and prototyping models for pricing vanilla and exotic derivatives, as well as specifying and testing the final implementation,
-Working on analytics for volatility surface and forward curve construction,
-Assisting with sourcing and quality analysis of market data used in models,
-Providing product expertise and support to operational and sales teams.
Qualifications
-Top academic background to PhD, DEA, MSc (top 5 school)
in a highly quantitative field: Mathematics (preferable), Physics,
Financial Engineering etc,-Expertise in building models in Excel and VBA,
-Solid practical and theoretical knowledge of mathematical finance: Probability, Stochastic Calculus, Stochastic Volatility, PDE's etc,
-Experience working within the FX market,
-Any previous commercial exposure or client-facing skills would be desirable,
-Ability to work independently as well as within a team environment,
-Highly motivated and eager to take the initiative.
To apply or for more information, please contact by mail.
www.selbyjennings.com
Apply by email.
Please do not modify the subject of the mail or your application will not be considered.
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