Quant Derivatives Team

This very strong Quantitative team are market leaders for the work they have done so far. The team are looking to bring on a quantitative cus on risk measurement framework for FX / derivatives and securities financing transactions.

Responsibilities:

▪ The team are involved in developing models as well as implementation of these models
▪ Develop methodologies & models together with their parameterisation, developing and implementing new models in relevant systems, maintaining robust data and control processes, and ensuring governance of the overall framework
▪ Development of models & implementation requires very experienced C++ programmers.
▪ Develop pricing and calibration tools.
▪ Implement various new products using pricing engines and models.
▪ Rapid prototyping of models and products.
Ideal background:
▪ Need a solid understanding of local volatility implementation in PDE solvers and multi-asset monte carlo
▪ Previous Foreign Exchange product experience is essential to be successful in this role.
▪ Has strong knowledge of derivative products and market standards
▪ Ideal candidates would be Front office Quant Analysts/Financial Engineers/Quantitative Developers etc.
▪ Exceptional coding skills and solid programming skills, e.g. C++, VBA.
▪ Excellent level of Financial Mathematics i.e. stochastic calculus, PDE modelling, binomial trees, etc.
▪ PhD (or excellent MSc) in Maths/Physics/Financial Engineering from a top-school.
▪ Exceptional front office communication skills are needed.
To apply for this position please contact us by submitting your CV in word format to xin@spotquant.com
Key words: quant; quantitative; analytics; finance; front office; Singapore; FX; Foreign Exchange; finance; pricing; risk; implement; model; pricing; PhD; C++; PDE; Maths; stochastic; Monte Carlo, local volatility, vol,; MSc; PDE;

Type: Full-time
Location: North America
Category: Quantitative Analysis Jobs

Compensation-200k to 300k.

Submit  your resume to  Xin@spotquant.com
The following helps can help me better understand your
investment methodology- model tear sheet, strategy description,
performance reports, data sheets etc…

Thank you
Xin Chen
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