Quantitative Specialist
4 weeks ago
As a Quantitative Specialist at Societe Generale Corporate and Investment Banking - SGCIB, you will be responsible for designing and implementing pricing models for interest rate derivatives and hybrids. You will lead a small team of quantitative analysts, define tasks, and check their produced design documents, source code, and implemented testing.
Key Responsibilities
• Collaborate with interest derivative traders, financial engineering, structurers, and other stakeholders to understand business requirements when structuring new interest rate products and develop adequate pricing models, quantitative solutions, and/or adapt existing pricing models to address these requirements.
• Conduct quantitative research to enhance existing interest rate models, develop new methodologies for pricing, hedging, and risk management of interest rate derivatives, including derivatives on SG interest rate proprietary indices.
• Maintain the pricing libraries and the pricing tools used by the trading in the pre-trade for risk management and P&L estimation and provide adequate support to trading, sales, engineers, IT users, and risk validators in their use of these tools.
• Lead the effort of the quant team to support rate algorithmic trading to help trading in data cleaning, data analysis, analysis of existing algorithms, and in the improvement of statistical models and in designing new rate strategies.
Requirements
• Proficient in pricing a wide range of interest rate derivatives, including Caplets, Floorlets, Swaptions, Range Accrual Options, Cancellable Swaps, Bermudans Swaptions, Double Range Accrual Options, CMS Options, Bond Options, Bond Futures Options, Listed Futures Options, and T-Locks.
• Strong understanding of Interest Rate Linear and Vanilla Derivatives, such as Swaps, Futures, Forwards, Forward Swaps, Swaptions, Caps, Floors, and Bond Forwards.
• Experienced in working with Exotic-Rate Models such as Hull & White (HW) Model, HJM Model, BGM Model, and implemented them for pricing Interest Rate exotic products.
• Proficient in mathematical methods applied to finance, including Monte Carlo and variance reduction, Differential Equations and Grid Backward/Forward Solving, optimization algorithms such as Gradient Descent, and interest rates curves stripping methodologies.
• Deep understanding of interest rate volatility surface structure, calibration, and SABR model, with the ability to maintain calibration and address arbitrability from volatility smiles.
• Proficiency in programming languages, including C# and Python, with a minimum understanding of C++, and experience in developing within a pricing library in a code sharing platform.
Education and Experience
• Master's degree in Financial Engineering and Mathematics.
• 5+ years of experience in similar roles, Quantitative analysis in Financial institution, investment banking, Hedge fund, etc.
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