Quant Developer

Quant, Quantitative Developer, Quantitative, Murex, algorithm, C ++, Java or Scala

My client is an international bank located in Zurich. The firm offers a very professional environment where you will have the chance to use your skills within an experienced team.

We are looking for a long-term contractor/consultant with excellent mathematical understanding as well as experience in development and calibration of pricing models.

TASKS

Working on the internal pricing library

Implementing new payoffs, performance optimisations

Preparation of Pricing Library for the integration into dealer and sales systems

Integration of models in MUREX using the FLEX API

Implementation of numerical algorithms

REQUIREMENTS

Master degree or PhD required

Several years' experience in the field of stochastic differential equations and in option pricing

Experience in implementation of advanced pricing models (local volatility, stochastic volatility or local stochastic volatility)

Very good implementation knowledge of numerical algorithms (PDE solvers, optimisation algorithms, Monte Carlo)

Knowledge of MUREX is considered a strong asset

Experience in quantitative software development with C ++, Java or Scala

Proactive, resilient and reliable personality

Fluency in English (written & spoken)

This is a fantastic contract opportunity to join a leading financial firm, working within an exciting and fast paced environment.

Please send an up to date CV to (see below) for immedieate interviews.

Quant, Quantitative Developer, C++, Java, Scala, Murex.