The impending decommissioning of the LIBOR benchmarks and its replacement by new Risk Free Rates has created the need for new products and models as well as a major rethink of the current ones.
As part of this push, Quanteam UK – Consultancy partner of the client – is required to help extensively on pricing of new products as well as the design of the associated curves and volatility surfaces.
There is significant modelling as well as software design and development work, as existing frameworks will be reworked to support the new paradigm. In addition to this strategic project, support to business activity encompassing Trading, Finance, Risk, regulatory projects and Capital Management is required.
Specifically, the role will involve development within the production in-house quant library code base in C++. It has continuous interaction with the broader quant team, as well as FO Trading, Market Risk, Finance, Project management, Model Validation and IT.
Solid product knowledge on equity derivatives as well as linear and options rates products - knowledge of Inflation, Credit or FX would be a plus;
Understanding of multi-tenor interest rate curve construction and CSA aware pricing;
Understanding of stochastic volatility models and calibration of rates models;
Good analytical and numerical skills, including practical knowledge of stochastic calculus, and knowledge of implementing pricing analytics;
Appreciation of computational requirements of pricing algorithms - basics of numerical PDE solvers, Monte-Carlo, early exercise by regression (e.g. Longstaff-Schwartz).
Programming experience in a large quant library within a major financial institution, with front office focus;
Strong practical software engineering, extensive experience in C++, Python or C#, with strong capacity for abstraction, design skills, and appreciation of architecture of quant libraries.
Post-graduate education (PhD, MSc or equivalent) in a highly quantitative subject (such as Maths / Financial Maths, Physics or Engineering) is required.