Equity Derivatives Quant Research (VP Level) Equity Derivatives Quant Research (VP Level) …

Non-disclosed
in Hong Kong
Permanent, Full time
Last application, 04 Mar 21
75000
Non-disclosed
in Hong Kong
Permanent, Full time
Last application, 04 Mar 21
75000
Our client is a leading investment bank based in Hong Kong. They are looking for an "Equity Derivatives Quant Research" to join they team.

Job Description

  • 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

Job Specification

  • 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
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