• Associate/Manager/Senior Manager/AVP - Pricing Model Validation - Bank Jobs in Mumbai,India - 23787812

  • Allegis Group
  • Save Job
  • 4 - 11 Years
  • Posted : above 1 month

Job Description:

Responsibilities

- Provide theoretical analysis and review of Derivatives Pricing Models

- Implement independent benchmarks of pricing models in a managed C++ or Python library

- Write validation reports to present test results/ analysis incoherent way

- Collaborate with teams globally (London and New York)

Education and Experience

- Relevant university degree (PhD or Masters) in a Numerate subject Ideal candidates will be from IIT / IISc / top Foreign Universities

Competencies

- Specialized option pricing model expertise necessary

- Strong quantitative background with excellent analytical skills

- Familiar with Stochastic Calculus, Probability, Differential Equations and Numerical Methods

- Proficiency in Programming Languages preferably Python or C/C++

- Experience in implementing Monte-Carlo, Finite Difference Methods and other Numerical algorithms

Personal characteristics

- Self-motivated, persistent and focused with the ability to pay attention to detail and ensure that high quality work is consistently produced

- Ability to work independently

- Able to cope well under pressure and tight deadlines

Profile Summary:

Employment Type : Full Time
Salary : Not Mentioned
Deadline : 11th Apr 2020

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