My client are a leading global investment bank. They are a team of front-office quants providing modelling solutions to the Equity Derivatives business. Their work combines classical quant finance with modern machine learning techniques to deliver models to the trading desk.
The primary aim of this team is to research and develop quantitative models for the Equity Derivatives/Hybrids business, as well as to ensure their compliance with internal policies and industry regulations. This involves:
Developing models for the pricing and risk management of equity derivatives, including investigating improvements to existing models
Implementing these models in our quant library
Writing model documentation compliant with internal and regulatory standards
Working with model control teams to facilitate timely and efficient review and approval of models
Liaising with business functions as well as other quantitative research and control teams.
- intern < 2 years of experience in a derivatives modelling environment (either front office or model validation)
- Professional C++/Python development experience
- Excellent analytical and problem-solving abilities
- Outstanding academic record with a higher degree in a mathematical subject from a top-tier institution
- Excellent written and oral communication
- Thorough understanding of equity derivatives pricing theory and standard models
- Strong coding skills