dependent option models and SABR. Experience/knowledge of Risk Models such as Value-at-Risk (VaR) and Stress methodologies. Strong mathematical background covering stochasticcalculus, statistics, matrix algebra, optimisation methods and interpolation techniques. Object-oriented programming skills. Preferably Python and or C#, although skills in other languages more »
Physics or Statistics would be beneficial Significant experience in a Model Validation or Front Office Quant role Excellent mathematical ability with an understanding of StochasticCalculus, Partial Differential Equations, Monte-Carlo Methods, Finite Difference Methods, and Numerical Algorithms Deep understanding of interest Rates and FX derivative models Strong more »
and SABR. • Experience/knowledge of FRTB, IRRBB and Risk Models such as Value-at-Risk (VaR) and Stress methodologies.. • Strong mathematical background covering stochasticcalculus, statistics, matrix algebra, optimisation methods and interpolation techniques. • Object-oriented programming skills. Preferably Python and or C#, although skills in other languages more »
Greater London, England, United Kingdom Hybrid / WFH Options
Albert Bow
with analytics across business lines Contribute to pricing framework, model validation, and regulatory compliance Candidate Profile: Proficiency in numerical methods including Monte-Carlo and StochasticCalculus Extensive knowledge of derivative products, especially options Strong programming skills in C++ 17/20 or Rust, Python Excellent analytical, communication, and more »
and feedback.Desirable skills/Preferred Qualifications:· Experience working with cloud integrations, preferably AWS.· Strong analytical and numerical skills (e.g., statistics, probability theory, numerical methods, stochasticcalculus).· Exposure to stress-testing and regulatory capital (e.g. FRTB) requirements for risk management systems.Purpose, Values and MindsetWe deploy finance responsibly to more »