Top US trading house is currently seeking an expert quantitative modeller for a quantitative analyst role supporting the equity derivatives desk.

The team is responsible for all exotic equity as well as fund derivatives modelling for EMEA, supporting the traders with model requirements and day to day ad-hoc requests, as well as the long term project of building a new analytics library to cover all equity and hybrid projects. The team is currently using a legacy library, and enhancement of this is a big priority, therefore this role gives the successful candidate the opportunity to be part of a critical new project and get real modelling experience building something from the ground up.

This role is an ideal opportunity for a quant who has been working on an existing legacy system who is looking for a role that is more progressive and actually allows you to get hands on experience building models from scratch and truly understanding the models in more detail. Obviously the models will need to be implemented and therefore the candidate must have a good level of object orientated programming in either C++ or Java.

Responsibilities:

-Building derivative pricing and risk management models for the trading desk
-Model simulation and scenario testing of stochastic pricing models.
-Implementation of models into a new analytics library.
-Helping the developers with the library infrastructure and model implementation
-Supporting the traders with model requirements and research.
-Ad-hoc quant support to the front office and senior management.

Qualifications:
-Excellent level of financial mathematics: stochastic calculus, brownian motion, Monte Carlo, PDE’s, statistical modelling.
-Excellent programming skills required, C++, Java and experience of model implementation.
-Top post graduate degree, preferably PhD in a quantitative subject. Those from the French engineering (DEA) background are also sought. Background in Mathematics, Physics, financial engineering or other quantitative field.
-Strong communication skills. Ability to explain complex research to different areas of business.

To apply or for more information please contact quantexotic@selbyjennings.com
www.selbyjennings.com, 0207 019 4137