One 1 year of experience developing pricing models linked to interest rate options securities including swaptions, cap floors, bond options and higher order exotics instruments. Must include at least one 1 year of experience demonstrating market making and trade execution of interest rates linked instruments, underlying derivatives and PL track record; conducting quantitative risk analysis of complex financial transactions and strategies; applying mathematical and statistical expertise in stochastic models, linear algebra, differential calculus and operations research in quantitative modelling and trade pricing; applying understanding of systems architecture and programming, utilizing Python, C, VBA, and R; researching macro and micro events, and incorporating data driven views in risk management to interpret the movements in global interest rates markets; and utilizing machine learning and neural networks to build price prediction models.br br Any suitable combination of education, training or experience will be accepted.
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