FX Quant Analyst - Pricing Library/Models (4632)

For a longer-term project at our clients site, an international bank based in Zurich, we are looking for an experienced

FX QUANT ANALYST - PRICING LIBRARY/MODELS (4632)

You will be responsible for the FX Trading Desk support, SPECIFICALLY FOR THE PRICING LIBRARY (BACK END) INCLUDING ANALYSING, identifying areas of improvement, coding and implementing methods to achieve desired outcomes and further development.

YOUR QUALIFICATIONS:

- 5+ YEARS WORKING EXPERIENCE AS A QUANT ANALYST WITH FX DISTRIBUTOR AND FX FRONT SYSTEMS
- PRACTICAL KNOW-HOW WITH "1ST GENERATION" EXOTIC FX OPTIONS AND COMPLEX FX PRODUCTS (ACCUMULATORS, TARFS)
- PRACTICAL EXPERIENCE IN THE IMPLEMENTATION OF ADVANCED PRICING MODELS (LOCAL VOLATILITY, STOCHASTIC VOLATILITY OR LOCAL STOCHASTIC VOLATILITY)
- EXPERIENCE IN THE FIELD OF STOCHASTIC DIFFERENTIAL EQUATIONS AND IN THE OPTION EVALUATION
- Very good knowledge in the application and implementation of numerical algorithms (PDE solvers, optimization algorithms, Monte Carlo)
- EXPERIENCE IN QUANTITATIVE SOFTWARE DEVELOPMENT WITH JAVA OR SCALA, C# OR C++
- FLUENCY IN ENGLISH

Are you ready for a new challenge and available immediately in Zurich ? We look forward to receiving your application in MS-Word. For any questions, please contact us.