Tier 1 global investment bank with a significant global reach and reputation is seeking an exceptional Quant Analyst, with a passion for problem solving and instant recognition to join their rapidly developing Exotic Rates Team.
This position is located on the world's leading global trading floor, physically sitting directly next to an MD in FICC global trading (reporting directly to him).
You will need to be an excellent problem solver, able to come up with practical solutions in C++ in a rapid environment among the world's most prestigious trading teams.

Required skills:
-Strong C++ development skills,
-Broad techn-PhD in a Mathematical discipline from a top school/university,
-Provide high level support for IR Exotic Trading Desk and be looking to enter the trading team.

Responsibilities:
-Implementing IR stochastic volatility models in C++,
-Implementing pricers for IR Volatility/Variance products,
-Implementing different tools for managing exotic IR portfolios,
-Fix and solve problems rapidly (e.g. multi-factor VaR, variance option, cross smile predictor),
-Introduced SABR-adjusted smile pricing of FVAs and volatility swaps,
-Risk analysis: compared multi-currency smile models, and implemented 2-dimensional risk reports and over-hedge report for worst-of options,
-Improved competitiveness of bid-ask volatility algorithm for e-trading platform.

The Person:
-The ability to identify and fix problems quickly in a fast paced, exciting environment.
-You will begin working with the current position holder, to learn directly from previous incumbent for short period.
-Ability to act as a conduit between the business and senior members on the desk.
-Instant implementation of your work, with immediate and visible results and instant feedback.

To apply please press the apply button or call 00 44 207 019 4137.