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Lead Analyst

0 years

0 Lacs

Hyderabad Telangana India

Posted:2 weeks ago| Platform: Linkedin logo

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Skills Required

support pricing risk model data trading volatility strategies portfolio consistency analyze json python vba macros analysis test mathematics engineering finance certifications probability pde programming automate

Work Mode

On-site

Job Type

Full Time

Job Description

Key Responsibilities / Duties Support the pricing and risk model validation of front office (FO) fixed income pool, primarily comprising of First- and Second-generation FX products. Independently validate the input data and quant models used in exotic trading. The role would require a strong understanding of the stochastic calculus application in FX derivative pricing, especially application in the Stochastic vol (eg. Heston and SABR) models, Local Volatility (LV), and Stochastic Local Volatility (SLV) models. Degenerate complex payoff structures of exotics/ trading strategies into portfolio of simpler products, perform No Arbitrage (NA)/ payoff consistency tests, decompose their P&L and risk characteristics, replicate and explain behavior of Greek risk sensitivities. Ability to analyze large data sets by converting JSON/HD files into structured data format using Python/VBA macros. Ability to clearly communicate the analysis and test results to senior model stakeholders. Skills Required An advanced degree in quantitative subject such as Applied Mathematics, Financial Engineering, Mathematical/Quantitative/ Computational Finance, Engineering. Certifications such as CQF, FRM, MSc in QF from World Quant is a plus. Strong quantitative and quantitative skills. Knowledge of FX derivative models, Probability theory, Stochastic Calculus, Numerical Analysis and Computational Methods including finite difference methods and SDE numerical solutions methods- direct PDE solvers and Monte Carlo (MC). Knowledge of Interest rates modeling is a plus. Work experience in pricing solution platforms such as Murex/ Numerix and Bloomberg. Experience in either of programming language Python/ C++. Ability to automate using VBA macros. Show more Show less

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Financial Services

Mumbai Maharashtra

1001-5000 Employees

567 Jobs

    Key People

  • Ashu Suyash

    Managing Director & CEO

  • Sanjay Bhandari

    Chief Financial Officer

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