Quants Analyst with C++

  • Mumbai
  • 10-15 lakh
  • 3-6 years
  • 16 Jul 2015

  • IT/ Information Technology

  • IT/ Technology - Software/ Services
Job Description

Mandatory: Experience in C++

Please find the required skills below, mail sudeshna@convate.com with updated resume if suitable, interested. And stating where all you have exp

Stochastic calculus (Markov processes, Itos lemma, Martingales etc.) & Risk Neutral Pricing

Numerical Methods (Finite Difference, Monte Carlo Simulation etc.)

Knowledge of Quantitative Finance is compulsory including:

Vanilla and Exotic Derivative Products (Options, Futures, Swaps, Exotics such as Cliquets, Rainbows, Cappuccinos/ Stellars, Share Repurchases, Timer Options, Variance Swaps, Quantos. Compos, CDOs, Credit Default Swaps)

Models (Depending on the particular asset class):

Rates: Libor Market Model, HJM etc

FX & Equity: Black Scholes, Local Volatility, Stochastic Volatility Models

Credit: CVA/DVA calculation
VAR etc

Competencies/Skill sets for this job

C+ Vanilla Stochastic Calculus Swaps Volatility Stochastic Volatility

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