Quantitative Analyst

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Quantitative Analyst

A Quantitative Analyst is require to join an industry leading XVA Quantitative Research team at a Tier 1 Bank for a 12 month contract.

This team is responsible for using advanced algorithms to develop and support XVA pricing covering CVA, FVA, KVA, and MVA. Computation is done on a hybrid CPU/GPU grid in C++/CUDA.

In addition, the successful Quantitative Analyst will be involved in the building of a Monte Carlo Engine for the bank's Cross Asset classes.

Key Skills:

C++ development skills

Mathematical Finance and Stochastic Calculus

Statistical subject up to Master's level (preferred)

Front Office experience (desired but not a prerequisite)

Financial Services background

If you have the relevant experience for this Quantitative Analyst opportunity, then please apply with an updated copy of your CV and get in touch.

KEYWORDS: QUANTITATIVE ANALYST, XVA, CVA, C++, STOCHASTIC CALCULUS, FRONT OFFICE, PRICING DERIVATIVES, MONTE CARLO, FINANCIAL SERVICES

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