Brief description :
• Excellent Knowledge of pricing models for FX/Interest rates derivatives including exotic and structured products. Few examples: Caps/Floors, Swaptions, CMS, FX Barrier options and FX Asian Options.
• Good mathematical and numerical skills with excellent knowledge of quantitative finance topics like Geometric Brownian Motion, Stochastic Calculus, PDEs, Monte Carlo simulation.
• Good understanding of Yield Curve modelling, Interest Rate Swaps and ability to explain Interest Rate Risk
• Hands-on coding experience with either Python/C++ is a must
• Knowledge of SR11-7 framework and ability to design test plan, ongoing model monitoring framework for Pricing Models
• Excellent model documentation skills and verbal communication
• Education - PhD in mathematics, applied mathematics, physics or master’s in financial engineering is preferred
Experience : 1 plus years
Job Location : Mumbai/Pune/Bangalore/ Chennai/Gurgaon
Notice Period : Immediate to 45 days
Openings : 02