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Cross-Asset Quant Analyst/Library Quant

  • Job type: Permanent
  • Location: New York
  • Salary: $150000 - $220000 per annum
  • Job reference: LD7142017
  • Sector: Banking and Finance, Quantitative Finance, Selby Jennings
  • Date posted: 14/07/2017
Cross-Asset Quant Analyst/Library Quant | Tier 1 Investment Bank

A client of ours, a Tier 1 Investment Bank is looking for a new member to join their cross asset Core Quant Team in NY. The team is responsible for modeling, implementing and deploying pricing models across all asset classes (Equity, Rates, FX, Commodities, and Credit). They are looking to enhance and expand their libraries as part of a Greenfield initiative which has plans to roll out in Q1.

The team seeks a quant with extensive front office experience designing and implementing state of the art models for derivatives in C++ within a cross asset library. You will have the opportunity to be part of the full life-cycle of quantitative model development including research, prototyping and production implementation.

Position Description:
  • Develop pricing models and hedging analytics for existing and new products
  • Investigate improvement to existing models
  • Develop FO analytics for volatility, trade pricing, and risk monitoring
  • Implement these models into new quant library
  • Work with the trading desk to investigate valuation and hedging questions
Position Qualifications:
  • 5+ years of prior front office experience is required
  • Strong programming skills in C++/C++ 11. Familiar with Python, Java or Perl is a plus
  • 3+ years of experience working with quant libraries
  • Ph.D. in Computer Science, Mathematics, Quantitative Finance, Engineering or Physics
  • Excellent analytical and problem-solving skills
If you meet the requirements above please submit your CV ASAP because the team is looking to acquire talent within the first few weeks of September.

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