Quantitative Research/Entry-level model development


Company:: Not Disclosed
Location:: New York City, NY
Job Type:: Full Time
Category:: Sales & Trading

Yrs of Exp:: 2+ to 5 years
Posted:: 1/14/2013

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Job Description

This is an entry level model development and is typically aligned with a derivatives business or trading desk. The role affords the new team member opportunities to learn a particular business area and its product and models, while contributing to the model development and model support effort for that area.

Core Responsibilities:

Develop models and implement them in software for pricing and risk managing derivatives.
Develop pricing and calibration tools.
Benchmark and compare results of various techniques
Implement products using pricing engines and models
Explain model behavior and predictions to traders, identify major sources of risk in portfolios, carry out scenario analyses, provide guidance / debug analytics
Rapid prototyping of models and product

Essential Skills and qualifications:

Excellence in probability theory, stochastic processes, partial differential equations, and numerical analysis
Very strong analytical and problem solving abilities
C/C++ coding with emphasis on numerical methods
Good communication skills.
PhD or equivalent degree from top tier schools/programs in Math, Math Finance, Physics, or Engineering
Deep understanding of options pricing theory (i.e. quantitative models for pricing and hedging derivatives) a plus

Additional Information:

This candidate will typically have zero to two years of relevant quantitative research experiences.

If you are right applicant please submit your resume to: dinka@martingaleinternational.com

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