Linear Rates Quant Developer
City of London, London
SThree
interest rate derivatives revenue. ? Implement local volatility multi-factors short rate model (qGM) that used parallel Monte Carlo simulation, pathwise differentiation (AAD) for fast Greeks calculation. ? Deploy GM pricing tools in web-based application, excel and Murex. Promoted the use of Python as a prototyping tool for to replace Excel More ❯
Employment Type: Permanent
Salary: £150,000 - £160,000
Posted: