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Quantitative Analyst

City of London
1 month ago
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Job Title: Quantitative Analyst

Location: London

Contract Length: 6 Months (Jan 26 start date)

Day rate: £850 - £950 via Umbrella

ROLE DESCRIPTION

The role will require development of the underlying mathematical models and analytical tools used by the FX, Fixed Income, Credit, or Equities desks.
To design, develop, test and document the models developed to standards
Develop technical solutions for the desk as required
To provide rapid fixes to any issues identified in the models
To develop model calibration routines and market data analytics (such as curve bootstrapping and interpolation)

Certifications, Qualifications and Experience (Minimum requirements of the Job)

1-5 years working as a Quantitative Analyst developing models in quantitative finance, IT development, or a trading environment
A degree in mathematical finance, science or maths from a top tier university
Knowledge of the standard pricing models used in the investment banking industry
C++ or C experience
Excel VBA preferred
Python experience preferred

Knowledge, Skills & Experience

Solid background in stochastic processes, probability and numerical analysis. Physics, Engineering or similar subjects is desirable, but not strictly required.
Knowledge of main instruments used in FX, Fixed Income, Credit, or Equities
Knowledge of CVA, CSA discounting, VaR, ES and other risk measures.
Strong C++ or C skills.
Knowledge of at least one of the following scripting languages: Python, Perl, Shell Script, C#, Java, VBA.
Good knowledge of Excel.
Knowledge of Windows and UNIX/LINUX, understanding of and experience with version control systems (GIT) and distributed development process.
Knowledge of distributed computing and serialisation techniques preferred.
Ability to work in fast-paced environment with proven ability to handle multiple outputs at one time

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