Quant Developer

Ikya Human Capital Solutions Pvt Ltd
  • Mumbai
  • 5-9 lakh
  • 4-7 years
  • Views
  • 23 Oct 2017

  • Finance & Admin

  • Banking - Corporate
Job Description

The Model Validation Group works closely with both the front office quantitative research teams and product control and the role consequently offers significant exposure to Pricing and Risk management models/ methodologies for a particular asset classes / product group.

Review models (pricing models and / or risk models): Ensure that the model meets its stated objective. This would include reviewing the theoretical assumptions and the implementation of the model - for instance, setting up independent benchmarking tools for testing of various scenarios & boundary conditions of complex models.

In particular, depending on the asset class we are looking for candidates with knowledge / experience in one or more of the following areas:

- Libor Market Model, HJM, Models of the short-rate...

- Pricing of Exotic Payoffs (e.g. Barriers, Lookback, Asians etc.), Stochastic Volatility Models for pricing Equity Derivatives (Heston, Bates etc.)

- Pricing of Credit derivatives (CDO, Credit Index Options etc), CVA calculation

- Pricing of plain vanilla and exotic FX derivatives (Barriers, Quantos etc.)

- Value at Risk, Counterparty Risk Exposure models

Understanding of stochastic calculus, numerical techniques for derivatives pricing (Monte Carlo / Finite Difference) and strong experience in C++ programming.

Educational Pedigree : Masters in financial engineering) or experience in derivative model related, or PhD in quant subject.

B. Tech. or dual degree specializing in Mathematics / Physics only.


Competencies/Skill sets for this job

Engineering Exotic C++ Programming Dual Degree Phd

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