eFinancialCareers

• Company

  Anson Mccade

• Location

  Japan-Tokyo

• Compensation

  Very Attractive

• Position Type

  Employee

• Employment type

  Full time

• Updated

  06 Jan 2009

• eFC Ref no

  482828

This is a desk quant model development role aligned with the FX Options trading desk. The role is to contribute to the new product, new model, relative value and risk management system strategy for this business.

Quant Research - Associate - Quant Development Analyst

Core Responsibilities:

• Develop models and implement them in software for pricing and risk managing derivatives.

• Develop pricing and calibration tools.

• Benchmark and compare results of various techniques

• Implement products using pricing engines and models

• Explain model behavior and predictions to traders, identify major sources of risk in portfolios, carry out scenario analyses, provide guidance / debug analytics

• Rapid prototyping of models and products

Essential skills, experience, and qualifications:

• Solid experience in a front office quant role

• Excellence in probability theory, stochastic processes, partial differential equations, and numerical analysis

• Very strong analytical and problem solving abilities

• C/C++ coding with emphasis on numerical methods

• Good communication skills

• PhD or equivalent degree from top tier schools/programs in Math, Math Finance, Physics, or

• Engineering

Desirable skills/experience:

FX experience

For further information please contact John Meadowcroft on 020 7780 6700 / 020 7025 0420, or alternatively via e-mail John.Meadowcroft@AnsonMcCade.Com