The role will sit in a relatively new team responsible for analysing derivative pricing models (some of the most advanced globally) and identify errors and developing solutions for business areas to be able to adjust the values given to products. Also, the team will analyse illiquid transactions with respect to model parameter uncertainty and devise calibration methodology for the most complex derivative products.

C++ and VBA will be used extensively in the role and it would be a good opportunity for anyone looking to broaden their knowledge in to other asset classes.

My client is looking ideally for someone with experience in either equities, FX or credit derivatives although other asset classes can be considered for an exceptional candidate. Ideally the candidate will have worked extensively and in detail with pricing models, something that will be tested at interview.

If you are interested, please apply through the online application form. You will be contacted prior to any CV submission and your application will be treated with complete confidentiality.