Top Global financial service provider is seeking an experienced Derivatives quant for a hybrid quant position



The firm is looking for someone who can develop Tier 1 quality models to price interest rate, inflation, FX, Commodity, or Equity derivatives and structured notes.



Particularly people who have one of the following:

-- implemented LMM, HW2f model for interest rate structured notes/derivatives including path dependants

-- first/2nd generation exotics for FX or Equity (digitals, Knockins/Knockout, Asian, Compounds, Accumulators, touch, Faders, etc). SLV, Vanna-Volga, or other models

-- extensive work constructing FX, Equity, IRD, or Commodity vol surfaces including proxy surfaces, long dated vols, filtering exchange data, etc

-- researched and implemented Commodity derivative models for Swaps, Asians, exotics

-- Must have reasonable programming skills. Most programming is done in C/C++ under Solaris/Linux.

-- Exposure to Monte-Carlo, PDE, SDE, Numerical methods, payoff/contract scripting languages.



Looking for people with go-getter attitude, leadership qualities, team players, have the presence to work with developers, research Quants , product strategy, financial engineers, clients, and the application specialists. You will also be asked to talk at seminars and produce whitepapers.



Educational background will be a PHD in Math, Physics, Aerospace Engineering, or similar discipline from a top school.



To apply or for more information please contact quantexotic@selbyjennings.com

www.selbyjennings.com, +44 (0) 207 019 4137