Quantitative Developer Pricing Models

For our banking client we are looking for a QUANTITATIVE DEVELOPER with experience in development and calibration of pricing models.

Start date: 01/11/2015
Duration: 12 months minimum
Location: Zurich

The ideal candidate must have:

- Excellent mathematical understanding of development and calibration of pricing models.
- 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), German is a big plus

Project tasks include:

- 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

Michael Bailey International is acting as an Employment Business in relation to this vacancy.