Quantitative Analyst

Location:
London
Job Type:
Contract
Industry:
Enterprise Applications
Job reference:
BBBH136707_1618245690
Posted:
29 days ago

Quantitative Analyst - London

Quantitative Analyst - London

The work location is in London

The duration of the contract is 8 Months Initially

The Pay rate on offer is £750/d - £800/d PAYE ONLY

This role is working for a British multinational banking and financial services organisation.

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 the client's 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)

QUALIFICATIONS & 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++ 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
  • 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++ experience (preferably using Visual Studio 2017)
  • Excel VBA experience required
  • Python experience preferred
  • Experience with IBOR a plus

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