Equity derivatives price and model validation

  • Not Specified
  • London, England, United Kingdom
  • Contract, Full time
  • Randstad Sourceright
  • 17 Feb 18 2018-02-17

Equity derivatives price and model validation   Position type: contract, full time, 6 months Location: London Salary: £ 800-1000/day Start date: 2^nd-3^rd week of January Interviews: ASAP  A well-known, multinational consultancy company is looking for an Equity derivatives price and model validation candidate to join their team in London with a

Equity derivatives price and model validation

 

Position type: contract, full time, 6 months

Location: London

Salary: £ 800-1000/day

Start date: 2^nd-3^rd week of January

Interviews: ASAP 

A well-known, multinational consultancy company is looking for an Equity derivatives price and model validation candidate to join their team in London with a 6 months contract.

Key responsibilities:

You will join a team of 50

  • Provide expertise on models for financial products traded on an equity trading desk (Equity Forwards, Rainbow, Asian, Cliquet, etc)
  • Experience gained from testing/validating/implementing equity derivatives models within Front Office pricing envorionment or Risk management
  • Some knowldge of programming is a must (C++, C#)
  • Establish working relationships with other members of the team in other regions and across the organization as appropriate
  • Provide day-to-day technical expertise and operational support
  • Testing scripts for products
  • Writing model documentation compliant with internal and regulatory standards
  • Writing documentation on testing

Requirements:

  • Numerate degree in applied maths, physics, quantitative finance, engineering
  • Equities and Derivatives product knowledge and modelling approaches (Dupire, Heston, smile modelling, etc) is a must
  • Good analytical and problem solving skills
  • Experience working in investment banking background
  • Some understanding of programming fundamentals (C# or C++)