Quant Modeller - Contract

Adway Associates; London; Remote; GBP 80,000 - 110,000; Full time

Job summary

A prominent company within quantitative analytics is looking for a Modelling Quant. The role involves documenting and testing risk models as well as liaising between teams to ensure effective implementation. Ideal candidates should possess a Masters or PhD in relevant fields and strong programming skills, especially in C++ and Python. The position also requires a solid understanding of financial mathematics and a proactive approach towards innovation.

Qualifications

• Experience in Front Office & Derivatives modelling.
• Knowledge of financial engineering/structuring.
• Ability to explain complex ideas clearly.

Responsibilities

• Document, test and improve internal risk model for CVA.
• Liaise with Front Office and Model Validation to deploy model.
• Ensure compliance and accuracy in model implementation.

Skills

Mathematics

Financial Mathematics

Programming Numerical Algorithms

Analytical Skills

Numerical Skills

Python

C++

Communication

Education

Masters or PhD in Mathematics/Computer Science

Job description

Modelling Quant (Contract)

Location: Based from home, with some travel required

The Team

The role sits in The QA Equity & Hybrid Products team, which is part of the Global Quantitative Analytics group (QA) and is responsible for research, development and implementation of quantitative models for the equity derivatives business.

It covers equity flow products, equity structured & hybrid products, quantitative index and strategies business.

Overall purpose of the role

• Documentation, testing and improvements of an internal risk model, which is owned by The QA Equity & Hybrid Products team and feeds the Credit Valuation Adjustment (CVA) for products sensitive to future implied volatility dynamics (e.g. Corridor Variance Swaps)
• Liaise with Front Office, Technology and Model Validation teams, to deploy the risk model to production

Candidate profile

• Masters or PhD in Mathematics/Computer Science or related field
• Mathematically minded (knowledge of financial mathematics, ability to program numerical algorithms in C++)
• Experience in Front Office & Derivatives modelling
• Theoretical knowledge of financial engineering/structuring and financial product development
• Strong analytical and numerical skills
• Good Python programming skills
• Strong C++ programming skills (ideally worked in a C++ shared library)
• Able to explain complex ideas in a clear and coherent manner to colleagues/traders/sales/management both oral, written or in presentation
• Self driven with a strong desire to meet deadlines and to work accurately while keeping in mind compliance
• Integrity, desire to have correct and robust mathematical models and implementation
• Innovation ideas, ability, courage and desire to suggest and develop novel approaches
• Good written and verbal communication