Global investment bank seeks AVP and VP level Pricing Quants as part of their expanding Pricing Model Validation team.
The role is as a Quantitative Analyst to independently review and analyse derivative models for price and risk of FX and Interest Rates models.
Reviews and analysis require deep understanding of the mathematical models used, implementation methods, products traded in these markets, and the associated risks. In addition to theoretical analysis and review it is required (where appropriate) that model/products are independently implemented in a managed C++ library.
PhD qualification in numerate subject such as Mathematics, Financial Mathematics, Physics or Statistics. Strong candidates with other post-graduate qualifications may also be considered.
Relevant experience in a Model Validation or Front Office Quant role.
Excellent mathematical ability with an understanding of Stochastic Calculus, Partial Differential Equations, Monte-Carlo Methods, Finite Difference Methods, and Numerical Algorithms.
Deep understanding of FX and Rates models.
Morgan McKinley is acting as an Employment Agency in relation to this vacancy.
Please note that any references to salary or pay rates in this advertisement and in the salary refinement section are indicative only and should only be used as a guide.