You must have experience of modelling and/or validating derivative pricing models, A background in multiple asset classes/products is a bonus. Rates, FX, Equity, Credit. You will be applying advanced Quantitative techniques used in the development of complex derivative pricing models. The position is based in London.
You will be leading a smalll team of 3 model validation quants, facing off to stakeholders, chairing meetings and responsible for working closely with front office quants teams as part of the model risk/validation/governance efforts.
6 year+ experience of implementing and/or validating models within an Investment Bank in the Front Office or Model Validation or Valuations/IPV team
Exceptional academic background with a PhD/DEA/M2 from a top University in a highly mathematical subject.
Expert level stochastic calculus, PDE, ODE, Brownian Motion, Monte Carlo Simulations, Finite Difference Methods etc.
Strong programming skills in C++.
You must possess excellent communication / interpersonal skills; demonstrate initiative and be able to make quick decisions
Send your CV for immediate consideration.
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