- Validation of front office derivative pricing models for different use cases.
- Implementation of benchmark models (C++).
- Development of alternative models and methodologies to assess model risk.
- Liaise with trading, front office quants, and market risk and valuation analysts.
- Higher degree (MSc, PhD, DEA) in numerical subject such as mathematics or physics.
- Strong knowledge of mathematics and stochastic calculus.
- Experience in either a model validation or front office quant role.
- Experience implementing derivative valuation models in C++.