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Quantitative Developer - Quant, Developer, Analyst, C++

Eingestellt von Global Resourcing

Gesuchte Skills: Sales, Library, Vba, Spring

Projektbeschreibung

Quantitative Developer - Quant, Developer, Analyst, C++

General:

- Knowledge of Risk and Treasury management and developments in Money- and Capital Markets.
- Knowledge of the relevant processes of the whole value chain regarding the asset class (Risk, OPS, COO, Legal, Finance).
- Knowledge of mathematics and statistics at University Graduate level. Minimally a Master's degree in Mathematics, Physics, Econometrics, Aviation Technology or similar degrees;
- Knowledge of option valuation models and financial mathematics;
- Knowledge of programming languages preferably C++/C and Visual Basic for Applications (VBA).
- 7 or more years of work experience.
- Knowledge of all systems employed within Markets for the valuation and risk management of derivatives

Job deliverables

- Implementation and programming in C++ (or any other applicable programming language) within the existing Common Analytics Library (CAL) framework or within the Dolphin library for foreign exchange (FX)
- Testing and interpretation of model output (valuation, delta and vega profile).
- Present the model to the Model Validation Team within the Risk Department. Actively pursue model sign-off.
- Integrate the CAL C++ code with the various systems (Excel/VBA spreadsheets, Murex, Goldfish, Sophis, Spring). Ensure the functionality is distributed to end users.
- Delivers, based on Market data requirements database(s), reports, communication tools and Market Data Services to be used by Trading and Sales
- Create SQL databases to facilitate user queries.
- Set up daily reports related to model valuations.
- Transform option market data into volatilities.ks
- Roll-out of CAL (Common Analytics Library) at Markets clients, based on CAL and component(s) delivered by Quantitative Analysis to be used by Trading and Markets Sales.
- Provide initial training to clients during deployment.

Our client in the Netherlands are recruiting for a Quantitative Analyst/Developer to join them on an extendable 6 month contracting position.

MINIMUM REQUIRED LANGUAGE KNOWLEDGE (SPEAKING+WRITING):

- English

Projektdetails

  • Einsatzort:

    Amsterdam, Niederlande

  • Projektbeginn:

    asap

  • Projektdauer:

    6 months With Option to Extend

  • Vertragsart:

    Contract

  • Berufserfahrung:

    Keine Angabe

Geforderte Qualifikationen

Global Resourcing