Our client a Global Investment Bank is looking to add a Front Office Quant Analyst to join their highly talented and rapidly growing team. The Front Office Desk Analyst will have a results focussed and exceptional mathematical mind and be looking to enter a high pressured environment as you will work with senior members on the desk.



The successful candidate will be:



¡P Implemented and realized pricers for Inflation and Interest Rate derivatives

¡P Modeling: volatility, correlations and smile in Short Rate, Market Model, and Markov Functional context. „hƒnNumerical methods: Monte Carlo simulation, calibration. ƒnC++ (Quant Lib), VBA and Matlab software and design experience.

Develop a three factors short rate / FX hybrid model, for the pricing and hedging of cross currency products, which is used to price PRDC and Bermudan options on PRDC.
The models are implemented in C++ with Excel interfaces, combining object-oriented programming, generic programming and meta programming
This is a multidisciplinary group of quantitative experts focusing on exotic derivatives modelling across all product areas with a significant presence Worldwide
Must be DEA Educated and have outstanding Mathematic skills. (ENSAE, Paris VI, EL Karoui, Centrale, Normale preferred)


Please apply directly to quantexotic@selbyjennings.com, +44 (0) 207 019 4137, www.selbyjennings.com