Quantitative Analyst FX Options
Referenznummer:2019110103

Stellenbeschreibung

Responsibilities

  • Support the financial analytics team on the trading desk
  • Work on pricing models for FX derivative products based on local stochastic volatility models and numerical methods
  • Improve the risk management of FX derivative products
  • Contribute to projects
  • Develop simple software tools and services for the trading desks
  • Liaise with risk management and IT for validation and integration


Anforderungsprofil

Requirements

  • Master degree or Ph.D. in a quantitative discipline like Mathematics, Physics, Engineering or Quantitative Finance
  • Hands-on experience in FX options modelling in the banking industry (including FX exotic options)
  • Experience in working together with the trading desk
  • Strong knowledge in financial mathematics, probability theory and stochastic calculus
  • Experience in the implementation of local volatility models and numerical methods (PDE solvers, Monte Carlo etc.)
  • Fluent in English

Nice to have

  • German language skills
  • Experience in object-oriented programming in Scala or Java
  • Experience in model validation
  • Knowledge of time series analysis and machine learning

Personality

  • Strong analytical and communication skills
  • Reliable and resilient
  • Proactive person
  • Ability to work under pressure


Arbeitsort
Zürich


Ihr Berater:
Thorsten May
Thorsten@pro-info.ch