Job Title: Quantitative Analyst
Location: London
Contract Length: 6 months (Jan 26 start date)
Day rate: £850 - £950 via Umbrella
ROLE DESCRIPTION
- The role will require development of the underlying mathematical models and analytical tools used by the FX, Fixed Income, Credit, or Equities desks.
- To design, develop, test and document the models developed to standards
- Develop technical solutions for the desk as required
- To provide rapid fixes to any issues identified in the models
- To develop model calibration routines and market data analytics (such as curve bootstrapping and interpolation)
Certifications, Qualifications and Experience (Minimum requirements of the Job)
- 1-5 years working as a Quantitative Analyst developing models in quantitative finance, IT development, or a trading environment
- A degree in mathematical finance, science or maths from a top tier university
- Knowledge of the standard pricing models used in the investment banking industry
- C++ or C experience
- Excel VBA preferred
- Python experience preferred
Knowledge, Skills & Experience
- Solid background in stochastic processes, probability and numerical analysis. Physics, Engineering or similar subjects is desirable, but not strictly required.
- Knowledge of main instruments used in FX, Fixed Income, Credit, or Equities
- Knowledge of CVA, CSA discounting, VaR, ES and other risk measures.
- Strong C++ or C skills.
- Knowledge of at least one of the following Scripting languages: Python, Perl, Shell Script, C#, Java, VBA.
- Good knowledge of Excel.
- Knowledge of Windows and UNIX/Linux, understanding of and experience with version control systems (GIT) and distributed development process.
- Knowledge of distributed computing and serialisation techniques preferred.
- Ability to work in fast-paced environment with proven ability to handle multiple outputs at one time