Our client is a leading investment bank based in Hong Kong. They are looking for an "Equity Derivatives Quant Research" to join they team.
- Role as Lead Equity Derivatives Quant Research for building in-house Financial Derivatives Pricing Library (FDPL) across asset classes
- Design and develop auto-pricer for light-exotics products like ELN/Accumulator/Range Accrual/Autocallable/Volswap/Varswap and other hybrid products.
- Good presentation skills to communicate & explain ideas to traders, sales and structurer
- Research and build an in-house parametric volatility models, and implied volatility calibration with parametric representation, automated and distributed market data processing
- Role as desk quant supporting traders in derivatives pricing, model specification, volatility model research and risk management tools
- Minimum of 8 years’ equity derivatives desk quant experience in major banks
- Excellent knowledge of various volatility models fit for APAC underlying with hands on experience in Equity derivatives pricing, exotic and volatility products
- A PhD or Master's Degree in a quantitative discipline from a top-tier institution
- Good expertise in statistical modelling & optimization, including standard techniques, linear, convex & conic optimization
- A strong coding background with proficiency in C++, C#, Python and relevant quantitative packages (numpy, pandas)
- Strong problem-solving abilities and communication skills