One of the leading European investment banks is looking to expand its IR and Hybrids library with the acquisition of a highly experienced Quantitative Modeller.

The bank is renowned for having one of the strongest quant teams globally and so is seeking the very best candidates in the market to take the group forward.



Responsibilities:



Designing and implementing models to support exotic and vanilla interest rate derivative trading working very closely with the desk to cover products such as, Libor Range Accrual, European/Bermudan swaption, CMS spread options, and cap/floor, callable/cancellable swap.
Designing and implementing multi-currency FHJM Monte Carlo simulators to deal with interest rates, Commodity, FX and credit hybrid products.
Developing pricing models and building up the C++ library in order to integrate with the banks advanced trading systems.
Help lead a team of highly technical PhD Quants and IT support to create a highly efficient business unit.


Qualifications:



Significant experience in interest rate and Hybrid products and modeling.
Strong academic background to PhD level in a highly quantitative field, such as Computational Finance, Mathematics, Physics, Financial Engineering etc.
Exceptional Mathematical modeling credentials, with working knowledge of Stochastic Volatility with jumps, advanced PDE’s, Libor, HJM etc.
Strong programming knowledge in C++, C, Visual Basic, Java, SQL, VBA etc.
Good leadership ability with clear communication skills.


For more information please contact the Quant Exotic team on 0044 (0) 207 019 4137



Please apply to quantexotic@selbyjennings.com with CV in Word format

www.selbyjennings.com