VP/Director Flow Quantitative analyst - Tier 1 global quant group

  • Excellent TC
  • London, England, United Kingdom London England GB
  • Permanent, Full time
  • ITS-City Ltd
  • 18 Mar 18 2018-03-18

ITS City are seeking an experienced quant analyst to join an award winning, prestigious quant team in London. MUST HAVE EXPERIENCE OF FLOW/VANILLA/LINEAR PRODUCTS

This cross asset group is reponsible for the full lifesysle of model development across all asset classes. having developed a unified pricing library, used by all desk, there is still lots of work to do. Hence we have the exclusive mandate to find another solid and talented quant to help develop the pricing side on the Flow/Vanilla side, and possibly learn more about derivatives/exotics side too.

You will be working on;

  • Calibration of curves and volatility surfaces, interpolation and extrapolation of data, creation of proxies
  • Research, implementation and maintenance of models for pricing flow and moderately exotic instruments
  • Designing algorithms for the automatic and statistical validation of market data. 
  • Taking ownership for documenting and communicating these findings to internal and external clients as necessary.

You'll need to have:

  • 5 years+ of experience in financial modeling and building/developing flow pricing for products in Rates/FX or Credit markets. Cash equity will also be considered.
  • Hands-on implementation experience (C/C++ required, Python optional) and best practices in software development, including version control, unit and regression testing.
  • Strong knowledge of mathematical finance and of numerical techniques employed in derivatives pricing models.
  • Strong team-player comfortable in a multi-developer environment with interactions with quants, IT groups and product managers.
  • Good oral and written communication skills.
  • PhD/DEA in a technical discipline (mathematics, finance, physics, engineering or similar field).

Send your CV for immediate consideration.

Contact ITS City
To talk directly with us to discuss this vacancy and the client, please contact Simon Adams on:
Email: simon@its-city.com
Direct Line: +44 (0) 203 176 6648