Quanteam Group is a Consulting firm specialised in the Capital Markets industry, in Paris, London, Brussels, New York and North Africa.
Since 2007, our 650 consultants provide major clients (Corporate & Investment Banks, Asset Managers, Hedge Funds, Brokers and Insurance Companies) with expertise in several projects such as Financial Engineering, Quantitative Research, Regulatory Implementation, IT Transformation & Innovation.
The firm mainly takes part in:
Business consulting: Quantitative research, Risk management (e.g. Market risk, credit risk, counterparty risk), Banking regulations (e.g. Basel III, Solvency II, FATCA, EMIR, MiFID), Pricing & Valuation, Organisational Transformation & Process Improvement.
IT & Information systems consulting: Business Analysis, Project Management, Change management, Front Office Support (functional and technical), Development (e.g C++, Python, C#, Java, VBA), Financial Software's (e.g. Sophis, Murex, Summit, Calypso), IT Transformation & Innovation.
As part of Quanteam Group, Quanteam UK (incorporated in 2010) has today more than 60 consultants, working for major Capital Markets players in London.
The impending decommissioning of the LIBOR benchmarks and its replacement by new Risk Free Rates has created the need for new products and models as well as a major rethink of the current ones. As part of this push, the consultant will be required to work extensively on pricing of new products as well as the design of the associated curves and volatility surfaces. There will be significant modelling as well as software design and development work, as existing frameworks will be reworked to support the new paradigm. In addition to this strategic project, the candidate will offer support to business activity encompassing Trading, Finance, Risk, regulatory projects and Capital Management.
Specifically the role will involve development within the production in-house quant library code base in C++. The consultant will have continuous interaction with the broader quant team, as well as FO Trading, Market Risk, Finance, Project management, Model Validation and IT.
The ideal consultant has the following experience and skills set:
Strong product knowledge on linear and options rates products, knowledge of Inflation, Credit or FX would be a plus;
Understanding of multi-tenor interest rate curve construction and CSA aware pricing;
Understanding of stochastic volatility models and calibration of rates models;
Strong analytical and numerical skills, including practical knowledge of stochastic calculus, and knowledge of implementing pricing analytics;
Appreciation of computational requirements of pricing algorithms - basics of numerical PDE solvers, Monte-Carlo, early exercise by regression (e.g. Longstaff-Schwartz).
7y+ development experience in a large quant library within a major financial institution, with front office focus;
Strong practical software engineering, extensive experience in C++, with strong capacity for abstraction, design skills, and appreciation of architecture of quant libraries.
Post-graduate education (PhD, MSc or equivalent) in a highly quantitative subject (such as Maths / Financial Maths or Physics) is required.
Ability to communicate complex ideas with clarity;
Dynamic attitude with an ability to easily switch from one task to another as priorities change, and continue to work in a collaborative way throughout;
Strong attention to detail as accuracy is of essence;
A team player
Internal Number: 4829007
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