Contact: Hiring@ScientificaFinance.com

Title: Financial Engineer/Quantitative Analyst – Equity Exotics

Our Client, a large European bank based in the City of London, has exclusively instructed us to recruit a Financial Engineer/Quantitative Analyst who will join the Risk Management Unit working on their pricing and risk systems. This team has developed a full in-house C++ Analytics Library used to produce the daily P&L and the full set of risk figures for the highly profitable Exotic Structured Products desk dealing mainly in Equity-Linked and Hybrid instruments. The Analytics Library sits at the core of a three-tier pricing system complete with GUI and Excel front-ends, Sybase back-end and powered by a large grid of computers for the most computationally intensive financial simulations.

The successful candidate, together with other quantitative/risk analysts and software developers will be responsible for:

- Future evolutions of the Analytics Library in terms of new Models and new Payoffs. Improvements and optimisations to the existing pricing routines.
- Mathematical Validation and Documentation of the newest products being traded by the front office team.
- Maintenance and Enhancement of the existing applications used to generate and manage the Marked Data necessary to the daily pricing activities.
- Design of specifically dedicated environments to simulate and analyse the impact of unusual/historical market movements through stress/regression tests on the whole book.

To apply for this role you will need:

- A Numerate Degree (PhD not required although technical excellence is expected). It is beneficial some basic knowledge of stochastic calculus and numerical algorithms especially for optimisation and multi-dimensional Monte Carlo simulation.
- Business knowledge of at least one asset class (preferably equities) and general understanding of options pricing and risk measures like VAR, possibly for multi-asset instruments.
- Knowledge of C++ on the Windows platform possibly including the Standard Template Library and the Boost Library (or equivalent). Familiarity with Excel & VBA and with SQL on any relational database would be advantageous.

Our Client has advised us to encourage applications also from particularly talented candidates who believe that they can overcome their shortcomings in business knowledge with good technical skills, namely C++ and Maths.

Offered Salary: Up to £68,000 + Bonus + Benefits
Position: Permanent
Location: City of London

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